Correlation Between IShares Core and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both IShares Core 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 Core 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 Core SP and iShares SPTSX Composite, you can compare the effects of market volatilities on IShares Core 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 Core with a short position of IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and IShares SPTSX.
Diversification Opportunities for IShares Core and IShares SPTSX
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and IShares is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP and iShares SPTSX Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Composite and IShares Core 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 Core SP 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 Composite has no effect on the direction of IShares Core i.e., IShares Core and IShares SPTSX go up and down completely randomly.
Pair Corralation between IShares Core and IShares SPTSX
Assuming the 90 days trading horizon iShares Core SP is expected to generate 1.19 times more return on investment than IShares SPTSX. However, IShares Core is 1.19 times more volatile than iShares SPTSX Composite. It trades about 0.1 of its potential returns per unit of risk. iShares SPTSX Composite is currently generating about 0.07 per unit of risk. If you would invest 4,164 in iShares Core SP on August 24, 2024 and sell it today you would earn a total of 2,044 from holding iShares Core SP or generate 49.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core SP vs. iShares SPTSX Composite
Performance |
| Timeline |
| iShares Core SP |
| iShares SPTSX Composite |
IShares Core and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and IShares SPTSX
The main advantage of trading using opposite IShares Core and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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 Core vs. BMO SP 500 | IShares Core vs. Global X SP | IShares Core vs. BMO SP 500 | IShares Core vs. Vanguard SP 500 |
| IShares SPTSX vs. iShares SPTSX Canadian | IShares SPTSX vs. iShares Diversified Monthly | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped |
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 Stocks Directory module to find actively traded stocks across global markets.
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