Correlation Analysis Between Madrid Gnrl and SPTSX Comp

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

Madrid Gnrl  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Madrid Gnrl is expected to under-perform the SPTSX Comp. But the index apears to be less risky and, when comparing its historical volatility, Madrid Gnrl is 1.02 times less risky than SPTSX Comp. The index trades about -0.34 of its potential returns per unit of risk. The SPTSX Comp is currently generating about -0.23 of returns per unit of risk over similar time horizon. If you would invest  1,601,349  in SPTSX Comp on September 16, 2018 and sell it today you would lose (59,920)  from holding SPTSX Comp or give up 3.74% of portfolio value over 30 days.

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

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