Correlation Analysis Between SPTSX Comp and OMXRGI

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
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  OMXRGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.72 times more return on investment than OMXRGI. However, SPTSX Comp is 1.38 times less risky than OMXRGI. It trades about 0.3 of its potential returns per unit of risk. OMXRGI is currently generating about 0.16 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 OMXRGI

0.39
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy48.72%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and OMXRGI

SPTSX Comp diversification synergy

Weak diversification

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.
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