Correlation Between IShares MSCI and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and SPDR MSCI 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 MSCI and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI All and SPDR MSCI ACWI, you can compare the effects of market volatilities on IShares MSCI and SPDR MSCI 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 MSCI with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and SPDR MSCI.
Diversification Opportunities for IShares MSCI and SPDR MSCI
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and SPDR is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI All and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI and IShares MSCI 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 MSCI All are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI ACWI has no effect on the direction of IShares MSCI i.e., IShares MSCI and SPDR MSCI go up and down completely randomly.
Pair Corralation between IShares MSCI and SPDR MSCI
Given the investment horizon of 90 days iShares MSCI All is expected to generate 0.97 times more return on investment than SPDR MSCI. However, iShares MSCI All is 1.03 times less risky than SPDR MSCI. It trades about 0.0 of its potential returns per unit of risk. SPDR MSCI ACWI is currently generating about -0.03 per unit of risk. If you would invest 7,022 in iShares MSCI All on January 10, 2025 and sell it today you would lose (58.00) from holding iShares MSCI All or give up 0.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI All vs. SPDR MSCI ACWI
Performance |
| Timeline |
| iShares MSCI All |
| SPDR MSCI ACWI |
IShares MSCI and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and SPDR MSCI
The main advantage of trading using opposite IShares MSCI and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, SPDR MSCI 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| IShares MSCI vs. iShares MSCI ACWI | IShares MSCI vs. iShares MSCI ACWI | IShares MSCI vs. iShares MSCI BIC | IShares MSCI vs. iShares Asia 50 |
| SPDR MSCI vs. Dimensional ETF Trust | SPDR MSCI vs. Dimensional International Core | SPDR MSCI vs. Dimensional International Value | SPDR MSCI vs. Dimensional Core Equity |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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