This module allows you to analyze existing cross correlation between SPTSX Comp and DOW. You can compare the effects of market volatilities on SPTSX Comp and DOW 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 DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and DOW.
|Horizon||30 Days Login to change|
Predicted Return Density
SPTSX Comp vs. DOW
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.68 times more return on investment than DOW. However, SPTSX Comp is 1.46 times less risky than DOW. It trades about -0.02 of its potential returns per unit of risk. DOW is currently generating about -0.03 per unit of risk. If you would invest 1,657,270 in SPTSX Comp on September 21, 2019 and sell it today you would lose (19,558) from holding SPTSX Comp or give up 1.18% of portfolio value over 30 days.
Pair Corralation between SPTSX Comp and DOW
|Time Period||3 Months [change]|
Diversification Opportunities for SPTSX Comp and DOW
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW 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 DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and DOW go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.