Pair Correlation Between MerVal and SPTSX Comp

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 6.861233515253852E14 times more return on investment than SPTSX Comp. However, MerVal is 6.861233515253852E14 times more volatile than SPTSX Comp. It trades about 0.21 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.16 per unit of risk. If you would invest  2,800,954  in MerVal on October 24, 2017 and sell it today you would lose (68,157)  from holding MerVal or give up 2.43% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and SPTSX Comp
-0.31

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns