Correlation Between Invesco Fundamental and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both Invesco Fundamental 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 Invesco Fundamental and IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco Fundamental High and iShares SPTSX 60, you can compare the effects of market volatilities on Invesco Fundamental 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 Invesco Fundamental with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco Fundamental and IShares SPTSX.
Diversification Opportunities for Invesco Fundamental and IShares SPTSX
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between Invesco and IShares is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Fundamental High and iShares SPTSX 60 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX 60 and Invesco Fundamental 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 Invesco Fundamental High 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 60 has no effect on the direction of Invesco Fundamental i.e., Invesco Fundamental and IShares SPTSX go up and down completely randomly.
Pair Corralation between Invesco Fundamental and IShares SPTSX
Assuming the 90 days trading horizon Invesco Fundamental is expected to generate 3.62 times less return on investment than IShares SPTSX. But when comparing it to its historical volatility, Invesco Fundamental High is 2.51 times less risky than IShares SPTSX. It trades about 0.15 of its potential returns per unit of risk. iShares SPTSX 60 is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 3,288 in iShares SPTSX 60 on September 1, 2024 and sell it today you would earn a total of 590.00 from holding iShares SPTSX 60 or generate 17.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Invesco Fundamental High vs. iShares SPTSX 60
Performance |
| Timeline |
| Invesco Fundamental High |
| iShares SPTSX 60 |
Invesco Fundamental and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco Fundamental and IShares SPTSX
The main advantage of trading using opposite Invesco Fundamental and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco Fundamental 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.| Invesco Fundamental vs. Invesco SP International | Invesco Fundamental vs. Invesco FTSE RAFI | Invesco Fundamental vs. Invesco ESG NASDAQ | Invesco Fundamental vs. Invesco SP International |
| IShares SPTSX vs. iShares Core SP | IShares SPTSX vs. iShares Core SPTSX | IShares SPTSX vs. iShares SPTSX Capped | 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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