Correlation Between IShares GSCI and VanEck CMCI
Can any of the company-specific risk be diversified away by investing in both IShares GSCI and VanEck CMCI 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 GSCI and VanEck CMCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares GSCI Commodity and VanEck CMCI Commodity, you can compare the effects of market volatilities on IShares GSCI and VanEck CMCI 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 GSCI with a short position of VanEck CMCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares GSCI and VanEck CMCI.
Diversification Opportunities for IShares GSCI and VanEck CMCI
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and VanEck is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding iShares GSCI Commodity and VanEck CMCI Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck CMCI Commodity and IShares GSCI 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 GSCI Commodity are associated (or correlated) with VanEck CMCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck CMCI Commodity has no effect on the direction of IShares GSCI i.e., IShares GSCI and VanEck CMCI go up and down completely randomly.
Pair Corralation between IShares GSCI and VanEck CMCI
Given the investment horizon of 90 days iShares GSCI Commodity is expected to generate 1.33 times more return on investment than VanEck CMCI. However, IShares GSCI is 1.33 times more volatile than VanEck CMCI Commodity. It trades about 0.03 of its potential returns per unit of risk. VanEck CMCI Commodity is currently generating about 0.03 per unit of risk. If you would invest 2,477 in iShares GSCI Commodity on September 2, 2024 and sell it today you would earn a total of 126.00 from holding iShares GSCI Commodity or generate 5.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares GSCI Commodity vs. VanEck CMCI Commodity
Performance |
| Timeline |
| iShares GSCI Commodity |
| VanEck CMCI Commodity |
IShares GSCI and VanEck CMCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares GSCI and VanEck CMCI
The main advantage of trading using opposite IShares GSCI and VanEck CMCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares GSCI position performs unexpectedly, VanEck CMCI 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 VanEck CMCI will offset losses from the drop in VanEck CMCI's long position.| IShares GSCI vs. Invesco Optimum Yield | IShares GSCI vs. First Trust Global | IShares GSCI vs. iShares ESG Aware | IShares GSCI vs. iShares Fallen Angels |
| VanEck CMCI vs. Invesco DB Agriculture | VanEck CMCI vs. Invesco DB Base | VanEck CMCI vs. iPath Bloomberg Commodity | VanEck CMCI vs. VanEck Agribusiness ETF |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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