Pair Correlation Between SPTSX Comp and NQTH

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

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 2.72 times less return on investment than NQTH. But when comparing it to its historical volatility, SPTSX Comp is 2.1 times less risky than NQTH. It trades about 0.18 of its potential returns per unit of risk. NQTH is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  111,829  in NQTH on October 19, 2017 and sell it today you would earn a total of  3,329  from holding NQTH or generate 2.98% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and NQTH
0.42

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns