Pair Correlation Between SPTSX Comp and All Ords

This module allows you to analyze existing cross correlation between SPTSX Comp and All Ords. You can compare the effects of market volatilities on SPTSX Comp and All Ords and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in SPTSX Comp with a short position of All Ords. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and All Ords.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 SPTSX Comp  vs   All Ords
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 1.25 times less return on investment than All Ords. But when comparing it to its historical volatility, SPTSX Comp is 1.31 times less risky than All Ords. It trades about 0.15 of its potential returns per unit of risk. All Ords is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  595,970  in All Ords on October 18, 2017 and sell it today you would earn a total of  7,220  from holding All Ords or generate 1.21% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and All Ords
0.72

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and All Ords in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on All Ords and SPTSX Comp is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on SPTSX Comp are associated (or correlated) with All Ords. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of All Ords has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and All Ords go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns