Correlation Analysis Between Stockholm and SPTSX Comp

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

Stockholm  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Stockholm is expected to generate 1.48 times more return on investment than SPTSX Comp. However, Stockholm is 1.48 times more volatile than SPTSX Comp. It trades about -0.04 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.1 per unit of risk. If you would invest  56,353  in Stockholm on November 13, 2018 and sell it today you would lose (1,404)  from holding Stockholm or give up 2.49% of portfolio value over 30 days.

Pair Corralation between Stockholm and SPTSX Comp

0.76
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Stockholm diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
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