IShares SPTSX Correlations

Etfs . Canada . 
Etf . iShares SPTSX Small
XCS Etf  CAD 35.60  0.29  0.82%   
The current 90-days correlation between iShares SPTSX Small and iShares MSCI Min is -0.04 (i.e., Good 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 Small 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 Small and DJI is 0.89 (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 Small 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 Small to buy it.

Moving together with IShares Etf

  1.0XMD iShares SPTSX CompletionPairCorr
  0.99MCSM Manulife MultifactorPairCorr
  0.91XIU iShares SPTSX 60PairCorr
  0.69XSP iShares Core SPPairCorr
  0.96XIC iShares Core SPTSXPairCorr
  0.96ZCN BMO SPTSX CappedPairCorr
  0.85ZEB BMO SPTSX EqualPairCorr
  0.78ZUD BMO Dividend HedgedPairCorr
  0.87HXU BetaPro SP TSXPairCorr
  0.68XSTB iShares ESG AwarePairCorr
  0.8ZBK BMO Equal WeightPairCorr
  0.99HAC Global X SeasonalPairCorr
  0.87MINT-B Manulife MultifactorPairCorr
  0.94XEN iShares Jantzi SocialPairCorr
  0.95PDIV Purpose Enhanced DividendPairCorr
  0.75TCLV TD Q CanadianPairCorr
  0.99NMNG Ninepoint Mining EvoPairCorr
  0.81WSHR Wealthsimple ShariahPairCorr
  0.83TERM Manulife Smart ShortPairCorr
  0.72XSB iShares Canadian ShortPairCorr
  0.9DGRC CI Canada QualityPairCorr
  0.9DXBG Dynamic Global FixedPairCorr
  0.78HPF Harvest Energy LeadersPairCorr
  0.83XSH iShares Core CanadianPairCorr
  0.94DXAU Dynamic Active GlobalPairCorr
  0.85ZCON BMO Conservative ETFPairCorr
  0.88UDIV Manulife Smart DividendPairCorr
  0.94GCTB Guardian Ultra ShortPairCorr
  0.85ZMID BMO SP MidPairCorr
  0.97AMAX Hamilton Gold ProducerPairCorr
  0.66FLUS Franklin Large CapPairCorr

Related Correlations Analysis


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

DRFD
+ 0.98
PDF
FCVH
+ 0.96
QCE
IQD
+ 0.95
FCVH
PDF
+ 0.94
DRFE
DRFD
+ 0.94
DRFE
IQD
+ 0.94
QCE
  

High negative correlations

XMW
- 0.31
RUDH
RUDH
- 0.17
DRFE
XMW
- 0.02
TBNK

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
DRFE  0.59  0.16  0.20  0.50  0.27 
(0.74)
 1.62 
(0.87)
 3.59 
QCE  0.59  0.12  0.10  0.30  0.64 
(0.64)
 1.27 
(1.29)
 4.78 
TBNK  0.58  0.16  0.18  0.47  0.36 
(0.65)
 1.47 
(1.04)
 3.28 
PDF  0.35  0.12  0.16  0.58  0.00 
(0.40)
 0.93 
(0.57)
 1.99 
FCVH  0.64  0.12  0.14  0.22  0.48 
(0.77)
 1.42 
(1.12)
 4.53 
XHD  0.59  0.10  0.04  0.89  0.97 
(0.59)
 1.40 
(0.90)
 6.53 
DRFD  0.53  0.13  0.13  0.34  0.37 
(0.70)
 1.17 
(0.75)
 3.18 
RUDH  0.55 (0.01)(0.03) 0.05  0.88 
(0.63)
 1.30 
(0.90)
 6.19 
IQD  0.56  0.10  0.09  0.25  0.45 
(0.68)
 1.63 
(1.15)
 3.40 
XMW  0.34  0.00 (0.13) 0.09  0.40 
(0.37)
 0.76 
(0.83)
 2.05 

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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