Correlation Between IShares MSCI and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both IShares MSCI 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 MSCI 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 MSCI Min and iShares SPTSX Small, you can compare the effects of market volatilities on IShares MSCI 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 MSCI with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares SPTSX.
Diversification Opportunities for IShares MSCI and IShares SPTSX
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Min and iShares SPTSX Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Small and IShares MSCI 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 MSCI Min 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 Small has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares SPTSX go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares SPTSX
Assuming the 90 days trading horizon iShares MSCI Min is expected to generate 0.57 times more return on investment than IShares SPTSX. However, iShares MSCI Min is 1.76 times less risky than IShares SPTSX. It trades about 0.25 of its potential returns per unit of risk. iShares SPTSX Small is currently generating about -0.05 per unit of risk. If you would invest 2,985 in iShares MSCI Min on September 18, 2024 and sell it today you would earn a total of 75.00 from holding iShares MSCI Min or generate 2.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI Min vs. iShares SPTSX Small
Performance |
| Timeline |
| iShares MSCI Min |
| iShares SPTSX Small |
IShares MSCI and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares SPTSX
The main advantage of trading using opposite IShares MSCI and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI 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 MSCI vs. iShares SPTSX Small | IShares MSCI vs. iShares MSCI World | IShares MSCI vs. iShares Small Cap | IShares MSCI vs. iShares MSCI EAFE |
| IShares SPTSX vs. BMO Aggregate Bond | IShares SPTSX vs. iShares Canadian HYBrid | IShares SPTSX vs. Brompton European Dividend | IShares SPTSX vs. Solar Alliance Energy |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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