Correlation Between IShares ESG and IShares Russell
Can any of the company-specific risk be diversified away by investing in both IShares ESG and IShares Russell 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 IShares Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ESG Aware and iShares Russell 1000, you can compare the effects of market volatilities on IShares ESG and IShares Russell 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 IShares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ESG and IShares Russell.
Diversification Opportunities for IShares ESG and IShares Russell
0.4 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG Aware and iShares Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 1000 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 Aware are associated (or correlated) with IShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 1000 has no effect on the direction of IShares ESG i.e., IShares ESG and IShares Russell go up and down completely randomly.
Pair Corralation between IShares ESG and IShares Russell
Given the investment horizon of 90 days iShares ESG Aware is expected to under-perform the IShares Russell. In addition to that, IShares ESG is 1.19 times more volatile than iShares Russell 1000. It trades about -0.17 of its total potential returns per unit of risk. iShares Russell 1000 is currently generating about 0.17 per unit of volatility. If you would invest 31,678 in iShares Russell 1000 on August 24, 2024 and sell it today you would earn a total of 1,066 from holding iShares Russell 1000 or generate 3.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ESG Aware vs. iShares Russell 1000
Performance |
| Timeline |
| iShares ESG Aware |
| iShares Russell 1000 |
IShares ESG and IShares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ESG and IShares Russell
The main advantage of trading using opposite IShares ESG and IShares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ESG position performs unexpectedly, IShares Russell 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 Russell will offset losses from the drop in IShares Russell's long position.| IShares ESG vs. Invesco PureBeta MSCI | IShares ESG vs. Aquagold International | IShares ESG vs. Morningstar Unconstrained Allocation | IShares ESG vs. High Yield Municipal Fund |
| IShares Russell vs. iShares Russell 3000 | IShares Russell vs. iShares Russell Mid Cap | IShares Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell 2000 |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Other Complementary Tools
| FinTech Suite Use AI to screen and filter profitable investment opportunities | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |