Pair Correlation Between SPTSX Comp and MerVal

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

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.35 times more return on investment than MerVal. However, SPTSX Comp is 2.85 times less risky than MerVal. It trades about -0.2 of its potential returns per unit of risk. MerVal is currently generating about -0.14 per unit of risk. If you would invest  1,620,400  in SPTSX Comp on January 25, 2018 and sell it today you would lose (56,555)  from holding SPTSX Comp or give up 3.49% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and MerVal
0.86

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns