Correlation Analysis Between SPTSX Comp and NASDAQ Italy

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

Comparative Performance

 Predicted Return Density 

SPTSX Comp  vs.  NASDAQ Italy

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.75 times more return on investment than NASDAQ Italy. However, SPTSX Comp is 1.34 times less risky than NASDAQ Italy. It trades about 0.3 of its potential returns per unit of risk. NASDAQ Italy is currently generating about 0.12 per unit of risk. If you would invest  1,426,410  in SPTSX Comp on January 18, 2019 and sell it today you would earn a total of  157,410  from holding SPTSX Comp or generate 11.04% return on investment over 30 days.

Pair Corralation between SPTSX Comp and NASDAQ Italy

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and NASDAQ Italy

SPTSX Comp diversification synergy

Very poor diversification

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

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