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 60 and Desjardins RI USA, 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
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Desjardins is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX 60 and Desjardins RI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Desjardins RI USA 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 60 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 USA 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 60 is expected to generate 0.76 times more return on investment than Desjardins. However, iShares SPTSX 60 is 1.31 times less risky than Desjardins. It trades about 0.35 of its potential returns per unit of risk. Desjardins RI USA is currently generating about 0.25 per unit of risk. If you would invest 3,678 in iShares SPTSX 60 on August 26, 2024 and sell it today you would earn a total of 163.00 from holding iShares SPTSX 60 or generate 4.43% 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 60 vs. Desjardins RI USA
Performance |
| Timeline |
| iShares SPTSX 60 |
| Desjardins RI USA |
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 Core SP | IShares SPTSX vs. iShares Core SPTSX | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped |
| Desjardins vs. Desjardins American Equity | Desjardins vs. Desjardins RI Canada | Desjardins vs. Desjardins RI Canada | Desjardins vs. Desjardins Canadian Corporate |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Other Complementary Tools
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges |