Correlation Analysis Between Fidelity Nasdaq and SPTSX Comp

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

 Predicted Return Density 

Fidelity Nasdaq Composite Inde  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, Fidelity Nasdaq Composite Index is expected to generate 1.52 times more return on investment than SPTSX Comp. However, Fidelity Nasdaq is 1.52 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 0.04 per unit of risk. If you would invest  32,153  in Fidelity Nasdaq Composite Index on November 15, 2019 and sell it today you would earn a total of  2,279  from holding Fidelity Nasdaq Composite Index or generate 7.09% return on investment over 30 days.

Pair Corralation between Fidelity Nasdaq and SPTSX Comp

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for Fidelity Nasdaq and SPTSX Comp

Fidelity Nasdaq Composite Inde diversification synergy

Very poor diversification

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