Correlation Analysis Between SP 500 and ATX

This module allows you to analyze existing cross correlation between S&P 500 and ATX. You can compare the effects of market volatilities on SP 500 and ATX 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 SP 500 with a short position of ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and ATX.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

S&P 500  vs.  ATX

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 0.89 times more return on investment than ATX. However, S&P 500 is 1.13 times less risky than ATX. It trades about 0.16 of its potential returns per unit of risk. ATX is currently generating about 0.13 per unit of risk. If you would invest  250,696  in S&P 500 on January 18, 2019 and sell it today you would earn a total of  26,864  from holding S&P 500 or generate 10.72% return on investment over 30 days.

Pair Corralation between SP 500 and ATX

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for SP 500 and ATX

S&P 500 diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX and SP 500 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 S&P 500 are associated (or correlated) with ATX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATX has no effect on the direction of SP 500 i.e. SP 500 and ATX go up and down completely randomly.

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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.