Correlation Between IShares MSCI and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both IShares MSCI 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 MSCI 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 MSCI EAFE and SPDR MSCI ACWI, you can compare the effects of market volatilities on IShares MSCI 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 MSCI with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and SPDR MSCI.
Diversification Opportunities for IShares MSCI and SPDR MSCI
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between IShares and SPDR is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI 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 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 ACWI has no effect on the direction of IShares MSCI i.e., IShares MSCI and SPDR MSCI go up and down completely randomly.
Pair Corralation between IShares MSCI and SPDR MSCI
Given the investment horizon of 90 days IShares MSCI is expected to generate 2.09 times less return on investment than SPDR MSCI. But when comparing it to its historical volatility, iShares MSCI EAFE is 1.29 times less risky than SPDR MSCI. It trades about 0.07 of its potential returns per unit of risk. SPDR MSCI ACWI is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 2,983 in SPDR MSCI ACWI on August 26, 2024 and sell it today you would earn a total of 749.00 from holding SPDR MSCI ACWI or generate 25.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI EAFE vs. SPDR MSCI ACWI
Performance |
| Timeline |
| iShares MSCI EAFE |
| SPDR MSCI ACWI |
IShares MSCI and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and SPDR MSCI
The main advantage of trading using opposite IShares MSCI and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI 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 MSCI vs. Dimensional Core Equity | IShares MSCI vs. Dimensional Emerging Core | IShares MSCI vs. Dimensional Targeted Value | IShares MSCI vs. Dimensional Small Cap |
| SPDR MSCI vs. iShares MSCI Emerging | SPDR MSCI vs. BMO Long Federal | SPDR MSCI vs. iShares MSCI EAFE | SPDR MSCI vs. Vanguard Total Market |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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