Correlation Between VictoryShares International and IShares Core

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Can any of the company-specific risk be diversified away by investing in both VictoryShares International and IShares Core 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 VictoryShares International and IShares Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between VictoryShares International Volatility and iShares Core SP, you can compare the effects of market volatilities on VictoryShares International and IShares Core 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 VictoryShares International with a short position of IShares Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of VictoryShares International and IShares Core.

Diversification Opportunities for VictoryShares International and IShares Core

-0.54
  Correlation Coefficient

Excellent diversification

The 3 months correlation between VictoryShares and IShares is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding VictoryShares International Vo and iShares Core SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Core SP and VictoryShares International 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 VictoryShares International Volatility are associated (or correlated) with IShares Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Core SP has no effect on the direction of VictoryShares International i.e., VictoryShares International and IShares Core go up and down completely randomly.

Pair Corralation between VictoryShares International and IShares Core

Considering the 90-day investment horizon VictoryShares International is expected to generate 2.61 times less return on investment than IShares Core. But when comparing it to its historical volatility, VictoryShares International Volatility is 1.01 times less risky than IShares Core. It trades about 0.05 of its potential returns per unit of risk. iShares Core SP is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  9,473  in iShares Core SP on September 12, 2024 and sell it today you would earn a total of  3,822  from holding iShares Core SP or generate 40.35% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy98.39%
ValuesDaily Returns

VictoryShares International Vo  vs.  iShares Core SP

 Performance 
       Timeline  
VictoryShares International 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days VictoryShares International Volatility has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward indicators, VictoryShares International is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.
iShares Core SP 

Risk-Adjusted Performance

16 of 100

 
Weak
 
Strong
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in iShares Core SP are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unfluctuating basic indicators, IShares Core may actually be approaching a critical reversion point that can send shares even higher in January 2025.

VictoryShares International and IShares Core Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with VictoryShares International and IShares Core

The main advantage of trading using opposite VictoryShares International and IShares Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if VictoryShares International position performs unexpectedly, IShares Core 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 Core will offset losses from the drop in IShares Core's long position.
The idea behind VictoryShares International Volatility and iShares Core SP 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.
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.

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