Correlation Between IShares 1 and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both IShares 1 and IShares SPTSX at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining IShares 1 and IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares 1 10Yr Laddered and iShares SPTSX Canadian, you can compare the effects of market volatilities on IShares 1 and IShares SPTSX 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 IShares 1 with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares 1 and IShares SPTSX.
Diversification Opportunities for IShares 1 and IShares SPTSX
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and IShares is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding iShares 1 10Yr Laddered and iShares SPTSX Canadian in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Canadian and IShares 1 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 iShares 1 10Yr Laddered are associated (or correlated) with IShares SPTSX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SPTSX Canadian has no effect on the direction of IShares 1 i.e., IShares 1 and IShares SPTSX go up and down completely randomly.
Pair Corralation between IShares 1 and IShares SPTSX
Assuming the 90 days trading horizon iShares 1 10Yr Laddered is expected to generate 1.09 times more return on investment than IShares SPTSX. However, IShares 1 is 1.09 times more volatile than iShares SPTSX Canadian. It trades about 0.14 of its potential returns per unit of risk. iShares SPTSX Canadian is currently generating about 0.14 per unit of risk. If you would invest 1,788 in iShares 1 10Yr Laddered on November 27, 2024 and sell it today you would earn a total of 12.00 from holding iShares 1 10Yr Laddered or generate 0.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares 1 10Yr Laddered vs. iShares SPTSX Canadian
Performance |
| Timeline |
| iShares 1 10Yr |
| iShares SPTSX Canadian |
IShares 1 and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares 1 and IShares SPTSX
The main advantage of trading using opposite IShares 1 and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares 1 position performs unexpectedly, IShares SPTSX can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in IShares SPTSX will offset losses from the drop in IShares SPTSX's long position.| IShares 1 vs. iShares 1 10Yr Laddered | IShares 1 vs. iShares Floating Rate | IShares 1 vs. iShares Convertible Bond | IShares 1 vs. iShares JP Morgan |
| IShares SPTSX vs. iShares 1 5 Year | IShares SPTSX vs. iShares 1 5 Year | IShares SPTSX vs. iShares Core Canadian | IShares SPTSX vs. iShares Global Monthly |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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