Correlation Between IShares SPTSX and IShares SP
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and IShares SP 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 SP 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 iShares SP Small Cap, you can compare the effects of market volatilities on IShares SPTSX and IShares SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and IShares SP.
Diversification Opportunities for IShares SPTSX and IShares SP
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX 60 and iShares SP Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Small 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 IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP Small has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and IShares SP go up and down completely randomly.
Pair Corralation between IShares SPTSX and IShares SP
Assuming the 90 days trading horizon IShares SPTSX is expected to generate 1.79 times less return on investment than IShares SP. But when comparing it to its historical volatility, iShares SPTSX 60 is 4.13 times less risky than IShares SP. It trades about 0.6 of its potential returns per unit of risk. iShares SP Small Cap is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 3,214 in iShares SP Small Cap on September 5, 2024 and sell it today you would earn a total of 353.00 from holding iShares SP Small Cap or generate 10.98% 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. iShares SP Small Cap
Performance |
| Timeline |
| iShares SPTSX 60 |
| iShares SP Small |
IShares SPTSX and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and IShares SP
The main advantage of trading using opposite IShares SPTSX and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's 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 |
| IShares SP vs. First Asset Energy | IShares SP vs. First Asset Tech | IShares SP vs. Harvest Equal Weight | IShares SP vs. CI Canada Lifeco |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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