Pair Correlation Between Swiss Mrt and SPTSX Comp

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

Pair Volatility

Assuming 30 trading days horizon, Swiss Mrt is expected to generate 2.06 times more return on investment than SPTSX Comp. However, Swiss Mrt is 2.06 times more volatile than SPTSX Comp. It trades about 0.2 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.22 per unit of risk. If you would invest  908,404  in Swiss Mrt on October 25, 2017 and sell it today you would earn a total of  23,152  from holding Swiss Mrt or generate 2.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Swiss Mrt and SPTSX Comp
0.66

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns