Correlation Analysis Between Deep Value and SPTSX Comp

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

 Predicted Return Density 

Deep Value ETF  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Considering 30-days investment horizon, Deep Value ETF is expected to generate 2.05 times more return on investment than SPTSX Comp. However, Deep Value is 2.05 times more volatile than SPTSX Comp. It trades about 0.12 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.03 per unit of risk. If you would invest  3,048  in Deep Value ETF on June 17, 2019 and sell it today you would earn a total of  151.02  from holding Deep Value ETF or generate 4.95% return on investment over 30 days.

Pair Corralation between Deep Value and SPTSX Comp

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Deep Value and SPTSX Comp

Deep Value ETF diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Deep Value ETF and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and Deep Value 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 Deep Value ETF 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 Deep Value i.e. Deep Value and SPTSX Comp go up and down completely randomly.
See also your portfolio center. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.