Correlation Analysis Between Straits Tms and SPTSX Comp

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

 Predicted Return Density 
      Returns 

Straits Tms  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to under-perform the SPTSX Comp. But the index apears to be less risky and, when comparing its historical volatility, Straits Tms is 1.03 times less risky than SPTSX Comp. The index trades about -0.17 of its potential returns per unit of risk. The SPTSX Comp is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  1,657,270  in SPTSX Comp on September 21, 2019 and sell it today you would lose (19,558)  from holding SPTSX Comp or give up 1.18% of portfolio value over 30 days.

Pair Corralation between Straits Tms and SPTSX Comp

0.22
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy98.44%
ValuesDaily Returns

Diversification Opportunities for Straits Tms and SPTSX Comp

Straits Tms diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and Straits Tms 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 Straits Tms 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 Straits Tms i.e. Straits Tms and SPTSX Comp go up and down completely randomly.
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See also your portfolio center. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.


 
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