Correlation Analysis Between Nasdaq and SPTSX Comp

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

Nasdaq  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Nasdaq is expected to under-perform the SPTSX Comp. In addition to that, Nasdaq is 2.12 times more volatile than SPTSX Comp. It trades about -0.06 of its total potential returns per unit of risk. SPTSX Comp is currently generating about -0.11 per unit of volatility. If you would invest  1,541,429  in SPTSX Comp on November 12, 2018 and sell it today you would lose (63,123)  from holding SPTSX Comp or give up 4.1% of portfolio value over 30 days.

Pair Corralation between Nasdaq and SPTSX Comp

0.62
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy95.35%
ValuesDaily Returns

Diversification

Nasdaq diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1063.68

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