Correlation Analysis Between MerVal and SPTSX Comp

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

Comparative Performance

 Predicted Return Density 

MerVal  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.04 times more return on investment than SPTSX Comp. However, MerVal is 2.04 times more volatile than SPTSX Comp. It trades about 0.34 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.3 per unit of risk. If you would invest  2,996,828  in MerVal on January 18, 2019 and sell it today you would earn a total of  750,169  from holding MerVal or generate 25.03% return on investment over 30 days.

Pair Corralation between MerVal and SPTSX Comp

Time Period2 Months [change]
StrengthVery Strong
ValuesDaily Returns

Diversification Opportunities for MerVal and SPTSX Comp

MerVal diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and MerVal 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 MerVal 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 MerVal i.e. MerVal and SPTSX Comp go up and down completely randomly.

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