Correlation Analysis Between DFA Real and SPTSX Comp

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

 Predicted Return Density 
      Returns 

DFA Real Estate Securities I  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, DFA Real Estate Securities I is expected to generate 1.95 times more return on investment than SPTSX Comp. However, DFA Real is 1.95 times more volatile than SPTSX Comp. It trades about 0.08 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.03 per unit of risk. If you would invest  3,812  in DFA Real Estate Securities I on June 17, 2019 and sell it today you would earn a total of  118.00  from holding DFA Real Estate Securities I or generate 3.1% return on investment over 30 days.

Pair Corralation between DFA Real and SPTSX Comp

0.65
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.62%
ValuesDaily Returns

Diversification Opportunities for DFA Real and SPTSX Comp

DFA Real Estate Securities I diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding DFA Real Estate Securities I and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and DFA Real 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 DFA Real Estate Securities I 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 DFA Real i.e. DFA Real and SPTSX Comp go up and down completely randomly.
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See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.


 
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