Correlation Analysis Between SPTSX Comp and Swiss Mrt

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

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.81 times more return on investment than Swiss Mrt. However, SPTSX Comp is 1.24 times less risky than Swiss Mrt. It trades about 0.49 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.29 per unit of risk. If you would invest  1,378,019  in SPTSX Comp on January 21, 2019 and sell it today you would earn a total of  222,957  from holding SPTSX Comp or generate 16.18% return on investment over 30 days.

Pair Corralation between SPTSX Comp and Swiss Mrt

0.85
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy91.67%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and Swiss Mrt

SPTSX Comp diversification synergy

Very poor diversification

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