Pair Correlation Between SPTSX Comp and Swiss Mrt

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

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.46 times more return on investment than Swiss Mrt. However, SPTSX Comp is 2.19 times less risky than Swiss Mrt. It trades about 0.21 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.06 per unit of risk. If you would invest  1,585,576  in SPTSX Comp on October 23, 2017 and sell it today you would earn a total of  22,094  from holding SPTSX Comp or generate 1.39% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SPTSX Comp and Swiss Mrt
0.52

Parameters

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

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns