Correlation Analysis Between OSE All and SPTSX Comp

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

OSE All  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to generate 2.0 times more return on investment than SPTSX Comp. However, OSE All is 2.0 times more volatile than SPTSX Comp. It trades about 0.08 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.02 per unit of risk. If you would invest  102,141  in OSE All on August 20, 2018 and sell it today you would earn a total of  1,609  from holding OSE All or generate 1.58% return on investment over 30 days.

Pair Corralation between OSE All 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 OSE All and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and OSE All 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 OSE All 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 OSE All i.e. OSE All and SPTSX Comp go up and down completely randomly.
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Comparative Volatility

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