Correlation Between IShares SPTSX and Global X
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and Global X 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 Global X into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SPTSX Composite and Global X Canadian, you can compare the effects of market volatilities on IShares SPTSX and Global X 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 Global X. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and Global X.
Diversification Opportunities for IShares SPTSX and Global X
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and Global is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Composite and Global X Canadian in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global X Canadian 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 Composite are associated (or correlated) with Global X. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global X Canadian has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and Global X go up and down completely randomly.
Pair Corralation between IShares SPTSX and Global X
Assuming the 90 days trading horizon iShares SPTSX Composite is expected to generate 0.67 times more return on investment than Global X. However, iShares SPTSX Composite is 1.49 times less risky than Global X. It trades about 0.39 of its potential returns per unit of risk. Global X Canadian is currently generating about 0.25 per unit of risk. If you would invest 2,722 in iShares SPTSX Composite on September 1, 2024 and sell it today you would earn a total of 93.00 from holding iShares SPTSX Composite or generate 3.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
iShares SPTSX Composite vs. Global X Canadian
Performance |
| Timeline |
| iShares SPTSX Composite |
| Global X Canadian |
IShares SPTSX and Global X Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and Global X
The main advantage of trading using opposite IShares SPTSX and Global X positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, Global X 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 Global X will offset losses from the drop in Global X's long position.| IShares SPTSX vs. Vanguard FTSE Canadian | IShares SPTSX vs. BMO Canadian Dividend | IShares SPTSX vs. Vanguard FTSE Canadian | IShares SPTSX vs. iShares Core SPTSX |
| Global X vs. Global X SPTSX | Global X vs. Global X SPTSX | Global X vs. Global X SP | Global X vs. Global X Europe |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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