Correlation Between IShares MSCI and JPMorgan BetaBuilders
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and JPMorgan BetaBuilders 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 MSCI and JPMorgan BetaBuilders into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI EAFE and JPMorgan BetaBuilders Aggregate, you can compare the effects of market volatilities on IShares MSCI and JPMorgan BetaBuilders 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 MSCI with a short position of JPMorgan BetaBuilders. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and JPMorgan BetaBuilders.
Diversification Opportunities for IShares MSCI and JPMorgan BetaBuilders
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and JPMorgan is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE and JPMorgan BetaBuilders Aggregat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan BetaBuilders and IShares MSCI 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 MSCI EAFE are associated (or correlated) with JPMorgan BetaBuilders. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan BetaBuilders has no effect on the direction of IShares MSCI i.e., IShares MSCI and JPMorgan BetaBuilders go up and down completely randomly.
Pair Corralation between IShares MSCI and JPMorgan BetaBuilders
Considering the 90-day investment horizon iShares MSCI EAFE is expected to under-perform the JPMorgan BetaBuilders. In addition to that, IShares MSCI is 2.48 times more volatile than JPMorgan BetaBuilders Aggregate. It trades about -0.17 of its total potential returns per unit of risk. JPMorgan BetaBuilders Aggregate is currently generating about -0.08 per unit of volatility. If you would invest 4,586 in JPMorgan BetaBuilders Aggregate on August 26, 2024 and sell it today you would lose (27.00) from holding JPMorgan BetaBuilders Aggregate or give up 0.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI EAFE vs. JPMorgan BetaBuilders Aggregat
Performance |
| Timeline |
| iShares MSCI EAFE |
| JPMorgan BetaBuilders |
IShares MSCI and JPMorgan BetaBuilders Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and JPMorgan BetaBuilders
The main advantage of trading using opposite IShares MSCI and JPMorgan BetaBuilders positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, JPMorgan BetaBuilders 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 JPMorgan BetaBuilders will offset losses from the drop in JPMorgan BetaBuilders' long position.| IShares MSCI vs. iShares MSCI Emerging | IShares MSCI vs. iShares Core Aggregate | IShares MSCI vs. iShares Russell 2000 | IShares MSCI vs. iShares MSCI Japan |
| JPMorgan BetaBuilders vs. iShares MSCI EAFE | JPMorgan BetaBuilders vs. iShares iBoxx Investment | JPMorgan BetaBuilders vs. iShares TIPS Bond | JPMorgan BetaBuilders vs. iShares 1 3 Year |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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