Pair Correlation Between SPTSX Comp and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between SPTSX Comp and EURONEXT BEL-20. You can compare the effects of market volatilities on SPTSX Comp and EURONEXT BEL-20 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 EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and EURONEXT BEL-20.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 SPTSX Comp  vs   EURONEXT BEL-20
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the EURONEXT BEL-20. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.29 times less risky than EURONEXT BEL-20. The index trades about -0.33 of its potential returns per unit of risk. The EURONEXT BEL-20 is currently generating about -0.24 of returns per unit of risk over similar time horizon. If you would invest  417,688  in EURONEXT BEL-20 on January 22, 2018 and sell it today you would lose (23,826)  from holding EURONEXT BEL-20 or give up 5.7% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and EURONEXT BEL-20
0.95

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy91.3%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 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 EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns