Correlation Analysis Between SPTSX Comp and AEX Amsterdam

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

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  AEX Amsterdam

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 8.52 times less return on investment than AEX Amsterdam. But when comparing it to its historical volatility, SPTSX Comp is 17.06 times less risky than AEX Amsterdam. It trades about 0.14 of its potential returns per unit of risk. AEX Amsterdam is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  78,352  in AEX Amsterdam on October 13, 2019 and sell it today you would earn a total of  12,125  from holding AEX Amsterdam or generate 15.48% return on investment over 30 days.

Pair Corralation between SPTSX Comp and AEX Amsterdam

0.21
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and AEX Amsterdam

SPTSX Comp diversification synergy

Modest diversification

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