Correlation Between IShares SPTSX and Desjardins
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and Desjardins 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 SPTSX and Desjardins into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SPTSX Small and Desjardins RI Emerging, you can compare the effects of market volatilities on IShares SPTSX and Desjardins 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 SPTSX with a short position of Desjardins. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and Desjardins.
Diversification Opportunities for IShares SPTSX and Desjardins
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and Desjardins is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Small and Desjardins RI Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Desjardins RI Emerging and IShares SPTSX 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 SPTSX Small are associated (or correlated) with Desjardins. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Desjardins RI Emerging has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and Desjardins go up and down completely randomly.
Pair Corralation between IShares SPTSX and Desjardins
Assuming the 90 days trading horizon iShares SPTSX Small is expected to generate 1.25 times more return on investment than Desjardins. However, IShares SPTSX is 1.25 times more volatile than Desjardins RI Emerging. It trades about 0.06 of its potential returns per unit of risk. Desjardins RI Emerging is currently generating about 0.08 per unit of risk. If you would invest 1,765 in iShares SPTSX Small on September 12, 2024 and sell it today you would earn a total of 396.00 from holding iShares SPTSX Small or generate 22.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SPTSX Small vs. Desjardins RI Emerging
Performance |
| Timeline |
| iShares SPTSX Small |
| Desjardins RI Emerging |
IShares SPTSX and Desjardins Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and Desjardins
The main advantage of trading using opposite IShares SPTSX and Desjardins positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, Desjardins 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 Desjardins will offset losses from the drop in Desjardins' long position.| IShares SPTSX vs. iShares SPTSX Completion | IShares SPTSX vs. BMO Aggregate Bond | IShares SPTSX vs. iShares Canadian HYBrid | IShares SPTSX vs. Brompton European Dividend |
| Desjardins vs. iShares SPTSX Small | Desjardins vs. iShares MSCI World | Desjardins vs. iShares Small Cap | Desjardins vs. iShares MSCI EAFE |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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