Correlation Analysis Between SPTSX Comp and Straits Tms

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

SPTSX Comp  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 1.06 times more return on investment than Straits Tms. However, SPTSX Comp is 1.06 times more volatile than Straits Tms. It trades about 0.03 of its potential returns per unit of risk. Straits Tms is currently generating about 0.0 per unit of risk. If you would invest  1,633,520  in SPTSX Comp on June 21, 2018 and sell it today you would earn a total of  10,030  from holding SPTSX Comp or generate 0.61% return on investment over 30 days.

Pair Corralation between SPTSX Comp and Straits Tms

0.26
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy75.86%
ValuesDaily Returns

Diversification

Modest diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
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