This module allows you to analyze existing cross correlation between SPTSX Comp and NZSE. You can compare the effects of market volatilities on SPTSX Comp and NZSE 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 NZSE. See also your portfolio center
. Please also check ongoing floating volatility patterns of SPTSX Comp
SPTSX Comp vs. NZSE
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 1.64 times more return on investment than NZSE. However, SPTSX Comp is 1.64 times more volatile than NZSE. It trades about 0.04 of its potential returns per unit of risk. NZSE is currently generating about -0.02 per unit of risk. If you would invest 1,638,360 in SPTSX Comp on June 18, 2018 and sell it today you would earn a total of 13,560 from holding SPTSX Comp or generate 0.83% return on investment over 30 days.
Pair Corralation between SPTSX Comp and NZSE
|Time Period||1 Month [change]|
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE 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 NZSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NZSE has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and NZSE go up and down completely randomly.
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See also your portfolio center
. Please also try My Watchlist Analysis
module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.