Correlation Analysis Between CME and SPTSX Comp

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

 Predicted Return Density 

CME Group  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Considering 30-days investment horizon, CME Group is expected to generate 2.6 times more return on investment than SPTSX Comp. However, CME is 2.6 times more volatile than SPTSX Comp. It trades about 0.13 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.08 per unit of risk. If you would invest  19,842  in CME Group on July 22, 2019 and sell it today you would earn a total of  1,543  from holding CME Group or generate 7.78% return on investment over 30 days.

Pair Corralation between CME and SPTSX Comp

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for CME and SPTSX Comp

CME Group diversification synergy

Very good diversification

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