Correlation Analysis Between SPTSX Comp and Nasdaq

This module allows you to analyze existing cross correlation between SPTSX Comp and Nasdaq. You can compare the effects of market volatilities on SPTSX Comp and Nasdaq 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 Nasdaq. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and Nasdaq.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  Nasdaq

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.47 times more return on investment than Nasdaq. However, SPTSX Comp is 2.12 times less risky than Nasdaq. It trades about -0.12 of its potential returns per unit of risk. Nasdaq is currently generating about -0.08 per unit of risk. If you would invest  1,541,429  in SPTSX Comp on November 14, 2018 and sell it today you would lose (71,478)  from holding SPTSX Comp or give up 4.64% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and Nasdaq

0.62
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy95.56%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and Nasdaq

SPTSX Comp diversification synergy

Poor diversification

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