Correlation Between Empire State and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both Empire State 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 Empire State and IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Empire State Realty and iShares SPTSX Small, you can compare the effects of market volatilities on Empire State 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 Empire State with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Empire State and IShares SPTSX.
Diversification Opportunities for Empire State and IShares SPTSX
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Empire and IShares is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Empire State Realty and iShares SPTSX Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Small and Empire State 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 Empire State Realty 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 Small has no effect on the direction of Empire State i.e., Empire State and IShares SPTSX go up and down completely randomly.
Pair Corralation between Empire State and IShares SPTSX
Given the investment horizon of 90 days Empire State Realty is expected to generate 1.62 times more return on investment than IShares SPTSX. However, Empire State is 1.62 times more volatile than iShares SPTSX Small. It trades about 0.11 of its potential returns per unit of risk. iShares SPTSX Small is currently generating about 0.03 per unit of risk. If you would invest 1,076 in Empire State Realty on August 30, 2024 and sell it today you would earn a total of 32.00 from holding Empire State Realty or generate 2.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Empire State Realty vs. iShares SPTSX Small
Performance |
| Timeline |
| Empire State Realty |
| iShares SPTSX Small |
Empire State and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Empire State and IShares SPTSX
The main advantage of trading using opposite Empire State and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Empire State 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.| Empire State vs. Paramount Group | Empire State vs. Hudson Pacific Properties | Empire State vs. Equity Commonwealth | Empire State vs. Douglas Emmett |
| IShares SPTSX vs. iShares SPTSX Completion | IShares SPTSX vs. Manulife Multifactor Canadian | IShares SPTSX vs. BMO Aggregate Bond | IShares SPTSX vs. iShares Canadian HYBrid |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Other Complementary Tools
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges |