Correlation Between IShares ESG and Nuveen ESG
Can any of the company-specific risk be diversified away by investing in both IShares ESG and Nuveen ESG 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 ESG and Nuveen ESG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ESG Aggregate and Nuveen ESG Aggregate, you can compare the effects of market volatilities on IShares ESG and Nuveen ESG 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 ESG with a short position of Nuveen ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ESG and Nuveen ESG.
Diversification Opportunities for IShares ESG and Nuveen ESG
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and Nuveen is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aggregate and Nuveen ESG Aggregate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen ESG Aggregate and IShares ESG 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 ESG Aggregate are associated (or correlated) with Nuveen ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen ESG Aggregate has no effect on the direction of IShares ESG i.e., IShares ESG and Nuveen ESG go up and down completely randomly.
Pair Corralation between IShares ESG and Nuveen ESG
Given the investment horizon of 90 days IShares ESG is expected to generate 1.02 times less return on investment than Nuveen ESG. In addition to that, IShares ESG is 1.0 times more volatile than Nuveen ESG Aggregate. It trades about 0.04 of its total potential returns per unit of risk. Nuveen ESG Aggregate is currently generating about 0.04 per unit of volatility. If you would invest 2,089 in Nuveen ESG Aggregate on September 1, 2024 and sell it today you would earn a total of 135.00 from holding Nuveen ESG Aggregate or generate 6.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ESG Aggregate vs. Nuveen ESG Aggregate
Performance |
| Timeline |
| iShares ESG Aggregate |
| Nuveen ESG Aggregate |
IShares ESG and Nuveen ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ESG and Nuveen ESG
The main advantage of trading using opposite IShares ESG and Nuveen ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ESG position performs unexpectedly, Nuveen ESG 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 Nuveen ESG will offset losses from the drop in Nuveen ESG's long position.| IShares ESG vs. iShares ESG 1 5 | IShares ESG vs. iShares ESG USD | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG Aware |
| Nuveen ESG vs. NuShares Enhanced Yield | Nuveen ESG vs. NuShares ETF Trust | Nuveen ESG vs. Nuveen ESG Small Cap | Nuveen ESG vs. Nuveen ESG Large Cap |
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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