Given investment horizon of 30 days, NYSE is expected to generate 0.67 times more return on investment than Royal. However, NYSE is 1.49 times less risky than Royal. It trades about -0.32 of its potential returns per unit of risk. Royal Bank of Canada is currently generating about -0.37 per unit of risk. If you would invest 807,079 in NYSE on April 24, 2012 and sell it today you would lose (52,989) from holding NYSE or give up 6.57% of portfolio value over 30 days.
Diversification
Very poor diversification
Overlapping area represents amount of risk that can be diversified away by holding NYSE and Royal Bank of Canada in the same portfolio (assuming nothing else is changed)
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