Correlation Analysis Between OMXRGI and SPTSX Comp

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

OMXRGI  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to under-perform the SPTSX Comp. But the index apears to be less risky and, when comparing its historical volatility, OMXRGI is 1.14 times less risky than SPTSX Comp. The index trades about -0.13 of its potential returns per unit of risk. The SPTSX Comp is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  1,645,010  in SPTSX Comp on June 22, 2018 and sell it today you would lose (1,460)  from holding SPTSX Comp or give up 0.09% of portfolio value over 30 days.

Pair Corralation between OMXRGI and SPTSX Comp

0.91
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.43%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
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ExchangeNASDAQ
$1186.96

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