Correlation Analysis Between Straits Tms and Stockholm

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

Straits Tms  vs.  Stockholm

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to under-perform the Stockholm. But the index apears to be less risky and, when comparing its historical volatility, Straits Tms is 1.09 times less risky than Stockholm. The index trades about -0.14 of its potential returns per unit of risk. The Stockholm is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  60,123  in Stockholm on August 20, 2018 and sell it today you would lose (154.00)  from holding Stockholm or give up 0.26% of portfolio value over 30 days.

Pair Corralation between Straits Tms and Stockholm

0.77
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy91.3%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and Stockholm in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Stockholm 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 Stockholm. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stockholm has no effect on the direction of Straits Tms i.e. Straits Tms and Stockholm go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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