Correlation Between IShares SPTSX and CI Munro

Can any of the company-specific risk be diversified away by investing in both IShares SPTSX and CI Munro 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 CI Munro into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between iShares SPTSX 60 and CI Munro Alternative, you can compare the effects of market volatilities on IShares SPTSX and CI Munro 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 CI Munro. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SPTSX and CI Munro.

Diversification Opportunities for IShares SPTSX and CI Munro

0.42

Correlation Coefficient

IShares SPTSX  CI Munro

Very weak diversification

The 3 months correlation between IShares and CMAG is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding iShares SPTSX 60 and CI Munro Alternative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Munro Alternative 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 60 are associated (or correlated) with CI Munro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Munro Alternative has no effect on the direction of IShares SPTSX i.e., IShares SPTSX and CI Munro go up and down completely randomly.

Pair Corralation between IShares SPTSX and CI Munro

Assuming the 90 days trading horizon iShares SPTSX 60 is expected to generate 0.52 times more return on investment than CI Munro. However, iShares SPTSX 60 is 1.91 times less risky than CI Munro. It trades about 0.01 of its potential returns per unit of risk. CI Munro Alternative is currently generating about 0.0 per unit of risk. If you would invest  3,845  in iShares SPTSX 60 on December 2, 2024 and sell it today you would earn a total of  14.00  from holding iShares SPTSX 60 or generate 0.36% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

iShares SPTSX 60  vs.  CI Munro Alternative

iShares SPTSX 60

Risk-Adjusted Performance

Very Weak

Over the last 90 days iShares SPTSX 60 has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, IShares SPTSX is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

CI Munro Alternative

Risk-Adjusted Performance

Very Weak

Over the last 90 days CI Munro Alternative has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, CI Munro is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with IShares SPTSX and CI Munro

The main advantage of trading using opposite IShares SPTSX and CI Munro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SPTSX position performs unexpectedly, CI Munro 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 CI Munro will offset losses from the drop in CI Munro's long position.

The idea behind iShares SPTSX 60 and CI Munro Alternative pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.