Pair Correlation Between SPTSX Comp and SP 500

This module allows you to analyze existing cross correlation between SPTSX Comp and S&P 500. You can compare the effects of market volatilities on SPTSX Comp and SP 500 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 SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and SP 500.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 SPTSX Comp  vs   S&P 500
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 2.38 times less return on investment than SP 500. But when comparing it to its historical volatility, SPTSX Comp is 1.46 times less risky than SP 500. It trades about 0.3 of its potential returns per unit of risk. S&P 500 is currently generating about 0.49 of returns per unit of risk over similar time horizon. If you would invest  269,016  in S&P 500 on December 17, 2017 and sell it today you would earn a total of  9,608  from holding S&P 500 or generate 3.57% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and SP 500
0.7

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 S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns