Correlation Between IShares CMBS and IShares GNMA
Can any of the company-specific risk be diversified away by investing in both IShares CMBS and IShares GNMA 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 CMBS and IShares GNMA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares CMBS ETF and iShares GNMA Bond, you can compare the effects of market volatilities on IShares CMBS and IShares GNMA 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 CMBS with a short position of IShares GNMA. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares CMBS and IShares GNMA.
Diversification Opportunities for IShares CMBS and IShares GNMA
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding iShares CMBS ETF and iShares GNMA Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares GNMA Bond and IShares CMBS 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 CMBS ETF are associated (or correlated) with IShares GNMA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares GNMA Bond has no effect on the direction of IShares CMBS i.e., IShares CMBS and IShares GNMA go up and down completely randomly.
Pair Corralation between IShares CMBS and IShares GNMA
Given the investment horizon of 90 days IShares CMBS is expected to generate 2.24 times less return on investment than IShares GNMA. But when comparing it to its historical volatility, iShares CMBS ETF is 1.4 times less risky than IShares GNMA. It trades about 0.18 of its potential returns per unit of risk. iShares GNMA Bond is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 4,235 in iShares GNMA Bond on November 9, 2024 and sell it today you would earn a total of 97.00 from holding iShares GNMA Bond or generate 2.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares CMBS ETF vs. iShares GNMA Bond
Performance |
| Timeline |
| iShares CMBS ETF |
| iShares GNMA Bond |
IShares CMBS and IShares GNMA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares CMBS and IShares GNMA
The main advantage of trading using opposite IShares CMBS and IShares GNMA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares CMBS position performs unexpectedly, IShares GNMA 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 GNMA will offset losses from the drop in IShares GNMA's long position.| IShares CMBS vs. iShares Agency Bond | IShares CMBS vs. iShares GNMA Bond | IShares CMBS vs. iShares JP Morgan | IShares CMBS vs. iShares Aaa |
| IShares GNMA vs. iShares Agency Bond | IShares GNMA vs. iShares 1 3 Year | IShares GNMA vs. iShares Core 1 5 | IShares GNMA vs. iShares Core 10 |
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Other Complementary Tools
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device |