Correlation Between IShares Bloomberg and IShares GSCI
Can any of the company-specific risk be diversified away by investing in both IShares Bloomberg and IShares GSCI 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 Bloomberg and IShares GSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Bloomberg Roll and iShares GSCI Commodity, you can compare the effects of market volatilities on IShares Bloomberg and IShares GSCI 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 Bloomberg with a short position of IShares GSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Bloomberg and IShares GSCI.
Diversification Opportunities for IShares Bloomberg and IShares GSCI
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and IShares is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding iShares Bloomberg Roll and iShares GSCI Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares GSCI Commodity and IShares Bloomberg 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 Bloomberg Roll are associated (or correlated) with IShares GSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares GSCI Commodity has no effect on the direction of IShares Bloomberg i.e., IShares Bloomberg and IShares GSCI go up and down completely randomly.
Pair Corralation between IShares Bloomberg and IShares GSCI
Given the investment horizon of 90 days IShares Bloomberg is expected to generate 1.38 times less return on investment than IShares GSCI. But when comparing it to its historical volatility, iShares Bloomberg Roll is 1.39 times less risky than IShares GSCI. It trades about 0.02 of its potential returns per unit of risk. iShares GSCI Commodity is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 2,496 in iShares GSCI Commodity on August 28, 2024 and sell it today you would earn a total of 114.00 from holding iShares GSCI Commodity or generate 4.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Bloomberg Roll vs. iShares GSCI Commodity
Performance |
| Timeline |
| iShares Bloomberg Roll |
| iShares GSCI Commodity |
IShares Bloomberg and IShares GSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Bloomberg and IShares GSCI
The main advantage of trading using opposite IShares Bloomberg and IShares GSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Bloomberg position performs unexpectedly, IShares GSCI 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 GSCI will offset losses from the drop in IShares GSCI's long position.| IShares Bloomberg vs. abrdn Bloomberg All | IShares Bloomberg vs. GraniteShares Bloomberg Commodity | IShares Bloomberg vs. iShares GSCI Commodity | IShares Bloomberg vs. abrdn Bloomberg All |
| IShares GSCI vs. Invesco Optimum Yield | IShares GSCI vs. First Trust Global | IShares GSCI vs. iShares ESG Aware | IShares GSCI vs. iShares Fallen Angels |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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