Correlation Analysis Between SPTSX Comp and OMX COPENHAGEN

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

SPTSX Comp  vs.  OMX COPENHAGEN

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.49 times more return on investment than OMX COPENHAGEN. However, SPTSX Comp is 2.06 times less risky than OMX COPENHAGEN. It trades about -0.02 of its potential returns per unit of risk. OMX COPENHAGEN is currently generating about -0.07 per unit of risk. If you would invest  1,622,565  in SPTSX Comp on August 20, 2018 and sell it today you would lose (2,961)  from holding SPTSX Comp or give up 0.18% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and OMX COPENHAGEN

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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