Pair Correlation 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.
 Time 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 generate 7.35 times less return on investment than ATX. But when comparing it to its historical volatility, SPTSX Comp is 1.92 times less risky than ATX. It trades about 0.14 of its potential returns per unit of risk. ATX is currently generating about 0.52 of returns per unit of risk over similar time horizon. If you would invest  344,006  in ATX on December 22, 2017 and sell it today you would earn a total of  20,294  from holding ATX or generate 5.9% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and ATX
0.78

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy94.74%
ValuesDaily Returns

Diversification

Poor diversification

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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns