IShares SPTSX Correlations

Etfs . Canada . 
Etf . iShares SPTSX Completion
XMD Etf  CAD 62.45  1.28  2.09%   
The current 90-days correlation between iShares SPTSX Completion and AGFiQ Market Neutral is -0.53 (i.e., Excellent diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as IShares SPTSX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares SPTSX Completion moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

IShares SPTSX Correlation With Market

Very poor diversification

The correlation between iShares SPTSX Completion and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX Completion and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to IShares SPTSX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares SPTSX when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IShares SPTSX - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling iShares SPTSX Completion to buy it.

Moving together with IShares Etf

  1.0XCS iShares SPTSX SmallPairCorr
  0.99MCSM Manulife MultifactorPairCorr
  0.79HOU BetaPro Crude OilPairCorr
  0.63FHE First Trust IndxxPairCorr
  0.84SVR iShares Silver BullionPairCorr
  0.93RPDH RBC Quant EuropeanPairCorr
  0.96COPP Global X CopperPairCorr
  0.92XBAL iShares Core BalancedPairCorr
  0.9HXU BetaPro SP TSXPairCorr
  0.99HGGG Harvest Global GoldPairCorr
  0.81XDG iShares Core MSCIPairCorr
  0.91PINC Purpose Multi AssetPairCorr
  0.93EIT-UN Canoe EIT IncomePairCorr
  0.8XEG iShares SPTSX CappedPairCorr
  0.95PDIV Purpose Enhanced DividendPairCorr
  0.86HURA Global X UraniumPairCorr
  0.86CYH iShares Global MonthlyPairCorr
  0.92QDX Mackenzie InternationalPairCorr
  0.77OILU SavvyLong Geared CrudePairCorr
  0.89XMM iShares MSCI MinPairCorr
  0.77PSB Invesco 1 5PairCorr
  0.77XDIV iShares Core MSCIPairCorr
  0.75BANK Evolve Canadian BanksPairCorr
  0.92FMAE Fidelity Multi AltPairCorr
  0.89RID RBC Quant EAFEPairCorr
  0.7CLF iShares 1 5PairCorr
  0.85WSRD Wealthsimple DevelopedPairCorr
  0.83PFIN PICTON IncomePairCorr
  0.84XRE iShares SPTSX CappedPairCorr
  0.91XSMH iShares SP SmallPairCorr
  0.84TGFI TD Active GlobalPairCorr
  0.83XINC iShares Core IncomePairCorr

Moving against IShares Etf

  0.91HXD BetaPro SPTSX 60PairCorr
  0.78HED BetaPro SPTSX CappedPairCorr
  0.51HIU BetaPro SP 500PairCorr
  0.41HBLK Blockchain TechnologiesPairCorr

Related Correlations Analysis


Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

XMA
+ 0.91
XMH
XMV
+ 0.9
XMH
XMV
+ 0.9
XMA
EGIF
+ 0.87
HUTL
TPRF
+ 0.86
XMH
XMA
+ 0.86
EGIF
  

High negative correlations

QBTL
- 0.81
TPRF
QBTL
- 0.77
XMH
QBTL
- 0.72
XMV
QBTL
- 0.72
XMA
QBTL
- 0.64
XCSR
QBTL
- 0.5
EGIF

IShares SPTSX Constituents Risk-Adjusted Indicators

There is a big difference between IShares Etf performing well and IShares SPTSX ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze IShares SPTSX's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.
Mean DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
XMH  0.68  0.09  0.08  0.23  0.56 
(0.78)
 1.66 
(1.28)
 5.25 
HUTL  0.47  0.16  0.09  3.09  0.24 
(0.54)
 1.05 
(0.87)
 2.33 
EGIF  0.26  0.13  0.00  1.73  0.00 
 0.00 
 0.28 
 0.00 
 6.38 
XMU  0.40 (0.04)(0.24)(0.02) 0.48 
(0.47)
 0.85 
(0.79)
 2.20 
TPRF  0.15  0.06 (0.23) 1.01  0.00 
(0.21)
 0.40 
(0.24)
 0.99 
XUSR  0.79 (0.09)(0.10) 0.01  1.05 
(0.81)
 1.71 
(2.09)
 4.56 
XCSR  0.75  0.05  0.02  0.18  0.96 
(0.82)
 1.57 
(1.57)
 5.03 
XMA  1.77  0.52  0.15  0.62  2.57 
(1.83)
 4.03 
(2.95)
 15.40 
XMV  0.40  0.10  0.02  0.46  0.30 
(0.45)
 0.95 
(0.74)
 2.72 
QBTL  0.89 (0.06) 0.00  0.17  0.00 
 0.00 
 2.11 
(1.99)
 6.53 

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Our tools can tell you how much better you can do entering a position in IShares SPTSX without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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