Correlation Between IShares SPTSX and IShares Canadian
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and IShares Canadian 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 IShares Canadian 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 iShares Canadian Value, you can compare the effects of market volatilities on IShares SPTSX and IShares Canadian 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 IShares Canadian. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and IShares Canadian.
Diversification Opportunities for IShares SPTSX and IShares Canadian
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Small and iShares Canadian Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Canadian Value 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 IShares Canadian. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Canadian Value has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and IShares Canadian go up and down completely randomly.
Pair Corralation between IShares SPTSX and IShares Canadian
Assuming the 90 days trading horizon IShares SPTSX is expected to generate 1.03 times less return on investment than IShares Canadian. In addition to that, IShares SPTSX is 1.56 times more volatile than iShares Canadian Value. It trades about 0.11 of its total potential returns per unit of risk. iShares Canadian Value is currently generating about 0.17 per unit of volatility. If you would invest 3,314 in iShares Canadian Value on September 1, 2024 and sell it today you would earn a total of 717.00 from holding iShares Canadian Value or generate 21.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SPTSX Small vs. iShares Canadian Value
Performance |
| Timeline |
| iShares SPTSX Small |
| iShares Canadian Value |
IShares SPTSX and IShares Canadian Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and IShares Canadian
The main advantage of trading using opposite IShares SPTSX and IShares Canadian positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, IShares Canadian 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 Canadian will offset losses from the drop in IShares Canadian's long position.| IShares SPTSX vs. iShares Convertible Bond | IShares SPTSX vs. iShares SP Mid Cap | IShares SPTSX vs. iShares Edge MSCI | IShares SPTSX vs. iShares Flexible Monthly |
| IShares Canadian vs. iShares Canadian Growth | IShares Canadian vs. iShares Canadian Government | IShares Canadian vs. iShares SPTSX Small | IShares Canadian vs. iShares SPTSX Completion |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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