This module allows you to analyze existing cross correlation between SPTSX Comp and OMXRGI. You can compare the effects of market volatilities on SPTSX Comp and OMXRGI 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 OMXRGI. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and OMXRGI.
|Horizon||30 Days Login to change|
Predicted Return Density
SPTSX Comp vs. OMXRGI
Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the OMXRGI. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.24 times less risky than OMXRGI. The index trades about -0.09 of its potential returns per unit of risk. The OMXRGI is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 101,651 in OMXRGI on May 18, 2019 and sell it today you would earn a total of 5,119 from holding OMXRGI or generate 5.04% return on investment over 30 days.
Pair Corralation between SPTSX Comp and OMXRGI
|Time Period||2 Months [change]|
Diversification Opportunities for SPTSX Comp and OMXRGI
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and OMXRGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXRGI 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 OMXRGI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMXRGI has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and OMXRGI go up and down completely randomly.
See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.