Correlation Analysis Between NQFI and SPTSX Comp

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

Comparative Performance

 Predicted Return Density 

NQFI  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the SPTSX Comp. In addition to that, NQFI is 1.49 times more volatile than SPTSX Comp. It trades about -0.13 of its total potential returns per unit of risk. SPTSX Comp is currently generating about -0.16 per unit of volatility. If you would invest  1,554,871  in SPTSX Comp on November 15, 2018 and sell it today you would lose (95,361)  from holding SPTSX Comp or give up 6.13% of portfolio value over 30 days.

Pair Corralation between NQFI and SPTSX Comp

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for NQFI and SPTSX Comp

NQFI diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NQFI and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and NQFI 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 NQFI 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 NQFI i.e. NQFI and SPTSX Comp go up and down completely randomly.

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.