Correlation Analysis Between SPTSX Comp and NYSE

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

SPTSX Comp  vs.  NYSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the NYSE. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.37 times less risky than NYSE. The index trades about -0.1 of its potential returns per unit of risk. The NYSE is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  1,234,953  in NYSE on November 10, 2018 and sell it today you would lose (40,760)  from holding NYSE or give up 3.3% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and NYSE

0.69
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy93.18%
ValuesDaily Returns

Diversification

SPTSX Comp diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1025.94

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