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.
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 under-perform the Straits Tms. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.14 times less risky than Straits Tms. The index trades about -0.23 of its potential returns per unit of risk. The Straits Tms is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest  318,043  in Straits Tms on September 20, 2018 and sell it today you would lose (11,792)  from holding Straits Tms or give up 3.71% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and Straits Tms

0.9
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no 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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns 

My Equities

My Current Equities and Potential Positions

View AllNext
GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1115.69

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.


 
Search macroaxis.com