Correlation Between IShares Core and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both IShares Core 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 IShares Core and IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core Canadian and iShares SPTSX Global, you can compare the effects of market volatilities on IShares Core 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 IShares Core with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and IShares SPTSX.
Diversification Opportunities for IShares Core and IShares SPTSX
-0.22 | Correlation Coefficient |
Very good diversification
The 3 months correlation between IShares and IShares is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core Canadian and iShares SPTSX Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Global and IShares Core 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 Core Canadian 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 Global has no effect on the direction of IShares Core i.e., IShares Core and IShares SPTSX go up and down completely randomly.
Pair Corralation between IShares Core and IShares SPTSX
Assuming the 90 days trading horizon IShares Core is expected to generate 2.06 times less return on investment than IShares SPTSX. But when comparing it to its historical volatility, iShares Core Canadian is 1.92 times less risky than IShares SPTSX. It trades about 0.05 of its potential returns per unit of risk. iShares SPTSX Global is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 2,033 in iShares SPTSX Global on August 29, 2024 and sell it today you would earn a total of 214.00 from holding iShares SPTSX Global or generate 10.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core Canadian vs. iShares SPTSX Global
Performance |
| Timeline |
| iShares Core Canadian |
| iShares SPTSX Global |
IShares Core and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and IShares SPTSX
The main advantage of trading using opposite IShares Core and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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.| IShares Core vs. iShares MSCI Emerging | IShares Core vs. iShares MSCI Global | IShares Core vs. iShares Core Canadian | IShares Core vs. Vanguard Total Market |
| IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped | 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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