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 MSCI and SPDR MSCI Europe, 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
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and SPDR is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe 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 MSCI 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 Europe 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 MSCI is expected to generate 0.94 times more return on investment than SPDR MSCI. However, iShares Core MSCI is 1.06 times less risky than SPDR MSCI. It trades about 0.04 of its potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.01 per unit of risk. If you would invest 2,895 in iShares Core MSCI on August 24, 2024 and sell it today you would earn a total of 549.00 from holding iShares Core MSCI or generate 18.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. SPDR MSCI Europe
Performance |
| Timeline |
| iShares Core MSCI |
| SPDR MSCI Europe |
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. UBSFund Solutions MSCI | IShares Core vs. iShares VII PLC | IShares Core vs. iShares Core SP | IShares Core vs. Lyxor Japan UCITS |
| SPDR MSCI vs. UBSFund Solutions MSCI | SPDR MSCI vs. iShares VII PLC | SPDR MSCI vs. iShares Core SP | SPDR MSCI vs. Lyxor Japan UCITS |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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