Correlation Analysis Between Facebook and SPTSX Comp

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

Comparative Performance

 Predicted Return Density 
      Returns 

Facebook Inc  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Facebook is expected to generate 3.18 times more return on investment than SPTSX Comp. However, Facebook is 3.18 times more volatile than SPTSX Comp. It trades about 0.17 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.21 per unit of risk. If you would invest  16,462  in Facebook on March 26, 2019 and sell it today you would earn a total of  1,796  from holding Facebook or generate 10.91% return on investment over 30 days.

Pair Corralation between Facebook and SPTSX Comp

0.74
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy78.26%
ValuesDaily Returns

Diversification Opportunities for Facebook and SPTSX Comp

Facebook Inc diversification synergy

Poor diversification

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