Correlation Analysis Between BSE and SPTSX Comp

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

 Predicted Return Density 
      Returns 

BSE  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 2.02 times more return on investment than SPTSX Comp. However, BSE is 2.02 times more volatile than SPTSX Comp. It trades about 0.0 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.01 per unit of risk. If you would invest  3,921,517  in BSE on May 25, 2019 and sell it today you would lose (9,221)  from holding BSE or give up 0.24% of portfolio value over 30 days.

Pair Corralation between BSE and SPTSX Comp

-0.25
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy90.48%
ValuesDaily Returns

Diversification Opportunities for BSE and SPTSX Comp

BSE diversification synergy

Very good diversification

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