Correlation Analysis Between SPTSX Comp and BSE

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

Comparative Performance

 Predicted Return Density 

SPTSX Comp  vs.  BSE

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.83 times more return on investment than BSE. However, SPTSX Comp is 1.21 times less risky than BSE. It trades about 0.49 of its potential returns per unit of risk. BSE is currently generating about 0.03 per unit of risk. If you would invest  1,378,019  in SPTSX Comp on January 21, 2019 and sell it today you would earn a total of  222,957  from holding SPTSX Comp or generate 16.18% return on investment over 30 days.

Pair Corralation between SPTSX Comp and BSE

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and BSE

SPTSX Comp diversification synergy

Very weak diversification

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

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