Correlation Between Desjardins and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both Desjardins 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 Desjardins and IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Desjardins RI USA and iShares SPTSX Global, you can compare the effects of market volatilities on Desjardins 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 Desjardins with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Desjardins and IShares SPTSX.
Diversification Opportunities for Desjardins and IShares SPTSX
0.55 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Desjardins and IShares is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Desjardins RI USA and iShares SPTSX Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Global and Desjardins 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 Desjardins RI USA 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 Global has no effect on the direction of Desjardins i.e., Desjardins and IShares SPTSX go up and down completely randomly.
Pair Corralation between Desjardins and IShares SPTSX
Assuming the 90 days trading horizon Desjardins RI USA is expected to generate 0.54 times more return on investment than IShares SPTSX. However, Desjardins RI USA is 1.86 times less risky than IShares SPTSX. It trades about 0.23 of its potential returns per unit of risk. iShares SPTSX Global is currently generating about -0.07 per unit of risk. If you would invest 4,322 in Desjardins RI USA on August 30, 2024 and sell it today you would earn a total of 195.00 from holding Desjardins RI USA or generate 4.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Desjardins RI USA vs. iShares SPTSX Global
Performance |
| Timeline |
| Desjardins RI USA |
| iShares SPTSX Global |
Desjardins and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Desjardins and IShares SPTSX
The main advantage of trading using opposite Desjardins and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Desjardins 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.| Desjardins vs. BMO Low Volatility | Desjardins vs. BMO MSCI USA | Desjardins vs. BMO Equal Weight | Desjardins vs. BMO Dividend ETF |
| IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares Global Agriculture | IShares SPTSX vs. iShares SPTSX Capped |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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