Correlation Analysis Between SPTSX Comp and ATX

This module allows you to analyze existing cross correlation between SPTSX Comp and ATX. You can compare the effects of market volatilities on SPTSX Comp and ATX 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 ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and ATX.
Horizon     30 Days    Login   to change
Symbolsvs

SPTSX Comp  vs.  ATX

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the ATX. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.47 times less risky than ATX. The index trades about -0.27 of its potential returns per unit of risk. The ATX is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  334,536  in ATX on September 18, 2018 and sell it today you would lose (7,133)  from holding ATX or give up 2.13% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and ATX

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX 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 ATX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATX has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and ATX go up and down completely randomly.
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Comparative Volatility

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