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This module allows you to analyze existing cross correlation between SPTSX Comp and OMXVGI. You can compare the effects of market volatilities on SPTSX Comp and OMXVGI 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 OMXVGI. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and OMXVGI.
|Horizon||30 Days Login to change|
Predicted Return Density
SPTSX Comp vs. OMXVGI
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 1.76 times more return on investment than OMXVGI. However, SPTSX Comp is 1.76 times more volatile than OMXVGI. It trades about -0.18 of its potential returns per unit of risk. OMXVGI is currently generating about -0.39 per unit of risk. If you would invest 1,547,010 in SPTSX Comp on November 18, 2018 and sell it today you would lose (105,321) from holding SPTSX Comp or give up 6.81% of portfolio value over 30 days.
Pair Corralation between SPTSX Comp and OMXVGI
|Time Period||2 Months [change]|
Diversification Opportunities for SPTSX Comp and OMXVGI
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and OMXVGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXVGI 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 OMXVGI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMXVGI has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and OMXVGI go up and down completely randomly.