Correlation Analysis Between Sprott Physical and Realty Income

This module allows you to analyze existing cross correlation between Sprott Physical Gold Trust and Realty Income Corporation. You can compare the effects of market volatilities on Sprott Physical and Realty Income 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 Sprott Physical with a short position of Realty Income. See also your portfolio center. Please also check ongoing floating volatility patterns of Sprott Physical and Realty Income.
 Time Horizon     30 Days    Login   to change

Sprott Physical Gold Trust  vs.  Realty Income Corp.

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Sprott Physical Gold Trust is expected to under-perform the Realty Income. But the etf apears to be less risky and, when comparing its historical volatility, Sprott Physical Gold Trust is 1.51 times less risky than Realty Income. The etf trades about -0.36 of its potential returns per unit of risk. The Realty Income Corporation is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  5,290  in Realty Income Corporation on June 18, 2018 and sell it today you would earn a total of  194.00  from holding Realty Income Corporation or generate 3.67% return on investment over 30 days.

Pair Corralation between Sprott Physical and Realty Income

Time Period1 Month [change]
StrengthVery Weak
ValuesDaily Returns


Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding Sprott Physical Gold Trust and Realty Income Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Realty Income and Sprott Physical 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 Sprott Physical Gold Trust are associated (or correlated) with Realty Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Realty Income has no effect on the direction of Sprott Physical i.e. Sprott Physical and Realty Income go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Sprott Physical Gold  

Risk-Adjusted Performance

Over the last 30 days Sprott Physical Gold Trust has generated negative risk-adjusted returns adding no value to investors with long positions.
Realty Income  

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Realty Income Corporation are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

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