Pair Correlation Between SPTSX Comp and NQEGT

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

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 3.45 times less return on investment than NQEGT. But when comparing it to its historical volatility, SPTSX Comp is 2.33 times less risky than NQEGT. It trades about 0.19 of its potential returns per unit of risk. NQEGT is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  109,634  in NQEGT on December 18, 2017 and sell it today you would earn a total of  4,564  from holding NQEGT or generate 4.16% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and NQEGT


Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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

Comparative Volatility

 Predicted Return Density