Correlation Between TSJA and IShares SP
Can any of the company-specific risk be diversified away by investing in both TSJA and IShares SP 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 TSJA and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between TSJA and iShares SP Small Cap, you can compare the effects of market volatilities on TSJA and IShares SP 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 TSJA with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of TSJA and IShares SP.
Diversification Opportunities for TSJA and IShares SP
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between TSJA and IShares is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding TSJA and iShares SP Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Small and TSJA 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 TSJA are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP Small has no effect on the direction of TSJA i.e., TSJA and IShares SP go up and down completely randomly.
Pair Corralation between TSJA and IShares SP
Given the investment horizon of 90 days TSJA is expected to generate 0.54 times more return on investment than IShares SP. However, TSJA is 1.85 times less risky than IShares SP. It trades about 0.12 of its potential returns per unit of risk. iShares SP Small Cap is currently generating about 0.05 per unit of risk. If you would invest 2,439 in TSJA on August 30, 2024 and sell it today you would earn a total of 334.00 from holding TSJA or generate 13.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 31.25% |
| Values | Daily Returns |
TSJA vs. iShares SP Small Cap
Performance |
| Timeline |
| TSJA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| iShares SP Small |
TSJA and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with TSJA and IShares SP
The main advantage of trading using opposite TSJA and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TSJA position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| TSJA vs. ProShares VIX Mid Term | TSJA vs. ProShares VIX Short Term | TSJA vs. iPath Series B | TSJA vs. ProShares Short Russell2000 |
| IShares SP vs. iShares SP Small Cap | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares SP 500 |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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