Correlation Analysis Between XU100 and SPTSX Comp

This module allows you to analyze existing cross correlation between XU100 and SPTSX Comp. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and SPTSX Comp.
Horizon     30 Days    Login   to change

XU100  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 2.44 times more return on investment than SPTSX Comp. However, XU100 is 2.44 times more volatile than SPTSX Comp. It trades about 0.05 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.33 per unit of risk. If you would invest  9,488,687  in XU100 on September 19, 2018 and sell it today you would earn a total of  156,770  from holding XU100 or generate 1.65% return on investment over 30 days.

Pair Corralation between XU100 and SPTSX Comp

Time Period1 Month [change]
StrengthVery Weak
ValuesDaily Returns


Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and XU100 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 XU100 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 XU100 i.e. XU100 and SPTSX Comp go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.