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- Peer Analysis
This module allows you to analyze existing cross correlation between SPTSX Comp and NQEGT. You can compare the effects of market volatilities on SPTSX Comp and NQEGT 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 NQEGT. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and NQEGT.
|Horizon||30 Days Login to change|
Predicted Return Density
SPTSX Comp vs. NQEGT
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 1.7 times less return on investment than NQEGT. But when comparing it to its historical volatility, SPTSX Comp is 1.21 times less risky than NQEGT. It trades about 0.3 of its potential returns per unit of risk. NQEGT is currently generating about 0.42 of returns per unit of risk over similar time horizon. If you would invest 105,925 in NQEGT on January 18, 2019 and sell it today you would earn a total of 20,661 from holding NQEGT or generate 19.51% return on investment over 30 days.
Pair Corralation between SPTSX Comp and NQEGT
|Time Period||2 Months [change]|
Diversification Opportunities for SPTSX Comp and NQEGT
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and NQEGT in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQEGT 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 NQEGT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQEGT has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and NQEGT go up and down completely randomly.