Correlation Between IShares Core and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both IShares Core 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 Core 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 Core SP and SPDR MSCI World, you can compare the effects of market volatilities on IShares Core 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 Core with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and SPDR MSCI.
Diversification Opportunities for IShares Core and SPDR MSCI
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between IShares and SPDR is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World and IShares Core 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 Core SP 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 World has no effect on the direction of IShares Core i.e., IShares Core and SPDR MSCI go up and down completely randomly.
Pair Corralation between IShares Core and SPDR MSCI
Assuming the 90 days trading horizon iShares Core SP is expected to generate 1.12 times more return on investment than SPDR MSCI. However, IShares Core is 1.12 times more volatile than SPDR MSCI World. It trades about 0.14 of its potential returns per unit of risk. SPDR MSCI World is currently generating about 0.06 per unit of risk. If you would invest 41,392 in iShares Core SP on August 31, 2024 and sell it today you would earn a total of 19,023 from holding iShares Core SP or generate 45.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.74% |
| Values | Daily Returns |
iShares Core SP vs. SPDR MSCI World
Performance |
| Timeline |
| iShares Core SP |
| SPDR MSCI World |
IShares Core and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and SPDR MSCI
The main advantage of trading using opposite IShares Core and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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 Core vs. iShares Core MSCI | IShares Core vs. BlackRock ESG Multi Asset | IShares Core vs. Pershing Square Holdings | IShares Core vs. ASML Holding NV |
| SPDR MSCI vs. iShares Core MSCI | SPDR MSCI vs. BlackRock ESG Multi Asset | SPDR MSCI vs. Pershing Square Holdings | SPDR MSCI vs. ASML Holding NV |
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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