This module allows you to analyze existing cross correlation between SPTSX Comp and ISEQ. You can compare the effects of market volatilities on SPTSX Comp and ISEQ 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 ISEQ. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and ISEQ.
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.96 times more return on investment than ISEQ. However, SPTSX Comp is 1.05 times less risky than ISEQ. It trades about 0.0 of its potential returns per unit of risk. ISEQ is currently generating about -0.09 per unit of risk. If you would invest 1,645,010 in SPTSX Comp on June 22, 2018 and sell it today you would lose (1,460) from holding SPTSX Comp or give up 0.09% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 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 ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and ISEQ go up and down completely randomly.
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