Correlation Analysis Between NYSE and SPTSX Comp

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

NYSE  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the SPTSX Comp. In addition to that, NYSE is 1.58 times more volatile than SPTSX Comp. It trades about -0.1 of its total potential returns per unit of risk. SPTSX Comp is currently generating about 0.12 per unit of volatility. If you would invest  1,614,479  in SPTSX Comp on May 22, 2018 and sell it today you would earn a total of  19,036  from holding SPTSX Comp or generate 1.18% return on investment over 30 days.

Pair Corralation between NYSE and SPTSX Comp

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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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.