Pair Correlation 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Sprott Physical Gold Trust  vs   Realty Income Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Sprott Physical Gold Trust is expected to generate 0.93 times more return on investment than Realty Income. However, Sprott Physical Gold Trust is 1.07 times less risky than Realty Income. It trades about -0.1 of its potential returns per unit of risk. Realty Income Corporation is currently generating about -0.24 per unit of risk. If you would invest  1,060  in Sprott Physical Gold Trust on September 20, 2017 and sell it today you would lose (15)  from holding Sprott Physical Gold Trust or give up 1.42% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Sprott Physical and Realty Income
0.4

Parameters

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

Diversification

Very weak 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 
      Returns 

Sprott Physical Gold

  
0 

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

  
0 

Risk-Adjusted Performance

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