IShares SPTSX Correlations

CPD Etf

CAD 13.76 0.01 0.07%

The current 90-days correlation between iShares SPTSX Canadian and Mackenzie Unconstrained Bond is 0.06 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares SPTSX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares SPTSX Canadian moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares SPTSX Correlation With Market

Very poor diversification

The correlation between iShares SPTSX Canadian and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Canadian and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to IShares SPTSX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares SPTSX when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares SPTSX - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares SPTSX Canadian to buy it.

Moving together with IShares Etf

0.96	ZPR	BMO Laddered Preferred	Pair Corr
0.97	HPR	Global X Active	Pair Corr
0.95	RPF	RBC Canadian Preferred	Pair Corr
0.95	DXP	Dynamic Active Preferred	Pair Corr
0.94	DIVS	Evolve Active Canadian	Pair Corr
0.93	XPF	iShares SPTSX North	Pair Corr
0.9	PR	Lysander Slater Pref	Pair Corr
0.9	HFP	Global X Active	Pair Corr
0.89	FPR	CI Preferred Share	Pair Corr
0.82	XIU	iShares SPTSX 60	Pair Corr
0.82	XSP	iShares Core SP	Pair Corr
0.82	XIC	iShares Core SPTSX	Pair Corr
0.81	ZCN	BMO SPTSX Capped	Pair Corr
0.83	ZEB	BMO SPTSX Equal	Pair Corr
0.76	XSMC	iShares SP Small	Pair Corr
0.81	BNC	Purpose Canadian Fin	Pair Corr
0.76	DXBG	Dynamic Global Fixed	Pair Corr
0.72	HGGG	Harvest Global Gold	Pair Corr

Moving against IShares Etf

0.58

TCLB

TD Canadian Long

Pair Corr

Related Correlations Analysis

	CDZ	ZGQ	ZWH	HDIV	ZWP	PFLS	HYLD	ZHY	XRE	MUB
CDZ		0.31	0.41	0.51	0.38	0.44	0.27	0.47	0.23	-0.13	CDZ
ZGQ	0.31		0.86	0.85	0.89	0.82	0.59	0.83	0.85	0.51	ZGQ
ZWH	0.41	0.86		0.7	0.81	0.62	0.28	0.68	0.82	0.48	ZWH
HDIV	0.51	0.85	0.7		0.92	0.96	0.67	0.94	0.75	0.21	HDIV
ZWP	0.38	0.89	0.81	0.92		0.89	0.54	0.88	0.88	0.27	ZWP
PFLS	0.44	0.82	0.62	0.96	0.89		0.74	0.92	0.71	0.19	PFLS
HYLD	0.27	0.59	0.28	0.67	0.54	0.74		0.68	0.27	0.09	HYLD
ZHY	0.47	0.83	0.68	0.94	0.88	0.92	0.68		0.7	0.26	ZHY
XRE	0.23	0.85	0.82	0.75	0.88	0.71	0.27	0.7		0.44	XRE
MUB	-0.13	0.51	0.48	0.21	0.27	0.19	0.09	0.26	0.44		MUB
	CDZ	ZGQ	ZWH	HDIV	ZWP	PFLS	HYLD	ZHY	XRE	MUB

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PFLS	+ 0.96	HDIV
ZHY	+ 0.94	HDIV
ZWP	+ 0.92	HDIV
ZHY	+ 0.92	PFLS
ZWP	+ 0.89	ZGQ
PFLS	+ 0.89	ZWP

High negative correlations

MUB

- 0.13

CDZ

IShares SPTSX Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares SPTSX ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze IShares SPTSX's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CDZ	0.41	0.05	(0.02)	0.34	0.74	(0.42)	0.83	(0.69)	5.18
ZGQ	0.61	0.02	(0.03)	0.11	0.70	(0.65)	1.38	(1.22)	3.13
ZWH	0.52	0.05	0.00	0.22	0.37	(0.69)	1.28	(0.78)	2.55
HDIV	0.58	0.10	0.05	0.31	0.72	(0.63)	1.40	(1.29)	4.50
ZWP	0.53	0.08	0.05	0.28	0.50	(0.61)	1.18	(1.15)	3.03
PFLS	0.44	0.02	(0.04)	0.15	0.52	(0.48)	1.03	(1.11)	3.37
HYLD	0.70	(0.05)	(0.08)	(0.01)	0.97	(0.69)	1.18	(1.58)	4.54
ZHY	0.20	0.02	(0.19)	0.25	0.16	(0.23)	0.37	(0.45)	1.27
XRE	0.55	0.10	0.04	1.39	0.48	(0.61)	1.12	(1.04)	3.40
MUB	0.18	(0.02)	0.00	(0.10)	0.00	0.00	0.39	(0.38)	1.04

Be your own money manager

Our tools can tell you how much better you can do entering a position in IShares SPTSX without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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