Correlation Between IShares SPTSX and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and Vanguard FTSE 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 Vanguard FTSE 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 Vanguard FTSE Canadian, you can compare the effects of market volatilities on IShares SPTSX and Vanguard FTSE 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 Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and Vanguard FTSE.
Diversification Opportunities for IShares SPTSX and Vanguard FTSE
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Vanguard is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Capped and Vanguard FTSE Canadian in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Canadian 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 Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Canadian has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and Vanguard FTSE go up and down completely randomly.
Pair Corralation between IShares SPTSX and Vanguard FTSE
Assuming the 90 days trading horizon iShares SPTSX Capped is expected to under-perform the Vanguard FTSE. In addition to that, IShares SPTSX is 1.07 times more volatile than Vanguard FTSE Canadian. It trades about -0.19 of its total potential returns per unit of risk. Vanguard FTSE Canadian is currently generating about -0.05 per unit of volatility. If you would invest 3,407 in Vanguard FTSE Canadian on August 28, 2024 and sell it today you would lose (29.00) from holding Vanguard FTSE Canadian or give up 0.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SPTSX Capped vs. Vanguard FTSE Canadian
Performance |
| Timeline |
| iShares SPTSX Capped |
| Vanguard FTSE Canadian |
IShares SPTSX and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SPTSX and Vanguard FTSE
The main advantage of trading using opposite IShares SPTSX and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares Canadian Select | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. BMO Equal Weight |
| Vanguard FTSE vs. iShares SPTSX Capped | Vanguard FTSE vs. iShares Canadian Select | Vanguard FTSE vs. iShares SPTSX Capped | Vanguard FTSE vs. iShares Diversified Monthly |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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