Correlation Analysis Between SPTSX Comp and XU100

This module allows you to analyze existing cross correlation between SPTSX Comp and XU100. You can compare the effects of market volatilities on SPTSX Comp and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and XU100.
Horizon     30 Days    Login   to change
Symbolsvs

SPTSX Comp  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.46 times more return on investment than XU100. However, SPTSX Comp is 2.17 times less risky than XU100. It trades about -0.11 of its potential returns per unit of risk. XU100 is currently generating about -0.13 per unit of risk. If you would invest  1,541,429  in SPTSX Comp on November 12, 2018 and sell it today you would lose (62,207)  from holding SPTSX Comp or give up 4.04% of portfolio value over 30 days.

Pair Corralation between SPTSX Comp and XU100

0.43
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy60.47%
ValuesDaily Returns

Diversification

SPTSX Comp diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and XU100 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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