Correlation Between IShares SPTSX and Global X
Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and Global X 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 Global X into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SPTSX Small and Global X Marijuana, you can compare the effects of market volatilities on IShares SPTSX and Global X 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 Global X. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and Global X.
Diversification Opportunities for IShares SPTSX and Global X
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Global is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Small and Global X Marijuana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global X Marijuana 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 Small are associated (or correlated) with Global X. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global X Marijuana has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and Global X go up and down completely randomly.
Pair Corralation between IShares SPTSX and Global X
Assuming the 90 days trading horizon iShares SPTSX Small is expected to under-perform the Global X. But the etf apears to be less risky and, when comparing its historical volatility, iShares SPTSX Small is 4.96 times less risky than Global X. The etf trades about -0.09 of its potential returns per unit of risk. The Global X Marijuana is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 1,130 in Global X Marijuana on February 4, 2024 and sell it today you would lose (26.00) from holding Global X Marijuana or give up 2.3% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
iShares SPTSX Small vs. Global X Marijuana
Performance |
Timeline |
iShares SPTSX Small |
Global X Marijuana |
IShares SPTSX and Global X Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares SPTSX and Global X
The main advantage of trading using opposite IShares SPTSX and Global X positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, Global X 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 Global X will offset losses from the drop in Global X's long position.IShares SPTSX vs. Manulife Multifactor Canadian | IShares SPTSX vs. Manulife Multifactor Mid | IShares SPTSX vs. Manulife Multifactor Developed | IShares SPTSX vs. Manulife Multifactor Large |
Global X vs. CI Gold Giants | Global X vs. BMO Global High | Global X vs. First Asset Energy | Global X 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
Stocks Directory Find actively traded stocks across global markets | |
Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA |