Correlation Between DSJA and IShares SP
Can any of the company-specific risk be diversified away by investing in both DSJA and IShares SP 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 DSJA and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between DSJA and iShares SP 500, you can compare the effects of market volatilities on DSJA and IShares SP 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 DSJA with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of DSJA and IShares SP.
Diversification Opportunities for DSJA and IShares SP
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between DSJA and IShares is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding DSJA and iShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 500 and DSJA 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 DSJA are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 500 has no effect on the direction of DSJA i.e., DSJA and IShares SP go up and down completely randomly.
Pair Corralation between DSJA and IShares SP
Given the investment horizon of 90 days DSJA is expected to generate 1.1 times less return on investment than IShares SP. But when comparing it to its historical volatility, DSJA is 1.4 times less risky than IShares SP. It trades about 0.14 of its potential returns per unit of risk. iShares SP 500 is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 5,993 in iShares SP 500 on August 30, 2024 and sell it today you would earn a total of 4,001 from holding iShares SP 500 or generate 66.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 31.31% |
| Values | Daily Returns |
DSJA vs. iShares SP 500
Performance |
| Timeline |
| DSJA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| iShares SP 500 |
DSJA and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with DSJA and IShares SP
The main advantage of trading using opposite DSJA and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DSJA position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| DSJA vs. ProShares VIX Mid Term | DSJA vs. ProShares VIX Short Term | DSJA vs. iPath Series B | DSJA vs. ProShares Short Russell2000 |
| IShares SP vs. FT Vest Equity | IShares SP vs. Northern Lights | IShares SP vs. Dimensional International High | IShares SP vs. First Trust Exchange Traded |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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