Pair Correlation Between FTSE MIB and SPTSX Comp |
This module allows you to analyze existing cross correlation between FTSE MIB and SPTSX Comp. You can compare the effects of market volatilities on FTSE MIB 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 FTSE MIB with a short position of SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of FTSE MIB and SPTSX Comp.
Time Horizon | 30 Days Login to change |
Symbols | vs |
FTSE MIB vs. SPTSX Comp
Pair Volatility
If you would invest (100.00) in FTSE MIB on March 23, 2018 and sell it today you would earn a total of 100.00 from holding FTSE MIB or generate -100.0% return on investment over 30 days.
Pair Corralation between FTSE MIB and SPTSX Comp
-0.56
Time Period | 2 Months [change] |
Direction | Negative |
Strength | Very Weak |
Accuracy | 0.0% |
Values | Daily Returns |
Diversification
Excellent diversification
Overlapping area represents the amount of risk that can be diversified away by holding FTSE MIB and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and FTSE MIB 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 FTSE MIB 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 FTSE MIB i.e. FTSE MIB and SPTSX Comp go up and down completely randomly.
Comparative Volatility
FTSE MIB
Pair trading matchups for FTSE MIB
SPTSX Comp
Pair trading matchups for SPTSX Comp
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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.