Correlation Between IShares SPTSX and IShares NASDAQ
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and IShares NASDAQ 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 NASDAQ into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SPTSX Capped and iShares NASDAQ 100, you can compare the effects of market volatilities on IShares SPTSX and IShares NASDAQ 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 NASDAQ. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and IShares NASDAQ.
Diversification Opportunities for IShares SPTSX and IShares NASDAQ
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and IShares is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Capped and iShares NASDAQ 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares NASDAQ 100 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 Capped are associated (or correlated) with IShares NASDAQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares NASDAQ 100 has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and IShares NASDAQ go up and down completely randomly.
Pair Corralation between IShares SPTSX and IShares NASDAQ
Assuming the 90 days trading horizon iShares SPTSX Capped is expected to generate 1.48 times more return on investment than IShares NASDAQ. However, IShares SPTSX is 1.48 times more volatile than iShares NASDAQ 100. It trades about 0.23 of its potential returns per unit of risk. iShares NASDAQ 100 is currently generating about 0.1 per unit of risk. If you would invest 5,863 in iShares SPTSX Capped on November 2, 2024 and sell it today you would earn a total of 1,627 from holding iShares SPTSX Capped or generate 27.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SPTSX Capped vs. iShares NASDAQ 100
Performance |
| Timeline |
| iShares SPTSX Capped |
| iShares NASDAQ 100 |
IShares SPTSX and IShares NASDAQ Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and IShares NASDAQ
The main advantage of trading using opposite IShares SPTSX and IShares NASDAQ positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, IShares NASDAQ 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 NASDAQ will offset losses from the drop in IShares NASDAQ's long position.| IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Global |
| IShares NASDAQ vs. iShares Core SP | IShares NASDAQ vs. iShares SPTSX Capped | IShares NASDAQ vs. BMO NASDAQ 100 | IShares NASDAQ vs. Vanguard 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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