Correlation Analysis Between SPTSX Comp and Russell 2000

This module allows you to analyze existing cross correlation between SPTSX Comp and Russell 2000 . You can compare the effects of market volatilities on SPTSX Comp and Russell 2000 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 Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and Russell 2000.
Horizon     30 Days    Login   to change
Symbolsvs

SPTSX Comp  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the Russell 2000. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.79 times less risky than Russell 2000. The index trades about -0.08 of its potential returns per unit of risk. The Russell 2000 is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  154,668  in Russell 2000 on October 14, 2018 and sell it today you would lose (2,789)  from holding Russell 2000 or give up 1.8% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and Russell 2000

0.83
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

SPTSX Comp diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 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 Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and Russell 2000 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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