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|
Predicted Return Density
SPTSX Comp vs. BSE
Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 2.0 times less risky than BSE. The index trades about -0.07 of its potential returns per unit of risk. The BSE is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 3,864,518 in BSE on May 19, 2019 and sell it today you would earn a total of 51,756 from holding BSE or generate 1.34% return on investment over 30 days.
Pair Corralation between SPTSX Comp and BSE
|Time Period||2 Months [change]|
Diversification Opportunities for SPTSX Comp and BSE
Very good 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.
See also your portfolio center. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.