Correlation Analysis Between SPTSX Comp and Seoul Comp

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

Comparative Performance

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.36 times less risky than Seoul Comp. The index trades about -0.17 of its potential returns per unit of risk. The Seoul Comp is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest  216,664  in Seoul Comp on November 16, 2018 and sell it today you would lose (9,516)  from holding Seoul Comp or give up 4.39% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and Seoul Comp

0.39
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy81.82%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and Seoul Comp

SPTSX Comp diversification synergy

Weak diversification

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

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
Search macroaxis.com