Correlation Analysis Between Microsoft and SPTSX Comp

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

 Predicted Return Density 
      Returns 

Microsoft Corp.  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Microsoft Corporation is expected to generate 2.5 times more return on investment than SPTSX Comp. However, Microsoft is 2.5 times more volatile than SPTSX Comp. It trades about 0.15 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.02 per unit of risk. If you would invest  12,622  in Microsoft Corporation on June 18, 2019 and sell it today you would earn a total of  982.00  from holding Microsoft Corporation or generate 7.78% return on investment over 30 days.

Pair Corralation between Microsoft and SPTSX Comp

0.79
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Microsoft and SPTSX Comp

Microsoft Corp. diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Microsoft Corp. and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and Microsoft 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 Microsoft Corporation 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 Microsoft i.e. Microsoft and SPTSX Comp go up and down completely randomly.
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See also your portfolio center. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.


 
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