Pair Correlation Between SPTSX Comp and Israel Index

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

SPTSX Comp  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.69 times more return on investment than Israel Index. However, SPTSX Comp is 1.46 times less risky than Israel Index. It trades about -0.03 of its potential returns per unit of risk. Israel Index is currently generating about -0.1 per unit of risk. If you would invest  1,563,845  in SPTSX Comp on March 26, 2018 and sell it today you would lose (16,145)  from holding SPTSX Comp or give up 1.03% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and Israel Index

0.93
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy92.0%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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