Correlation Between IShares II and IShares AEX
Can any of the company-specific risk be diversified away by investing in both IShares II and IShares AEX 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 II and IShares AEX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares II Public and iShares AEX UCITS, you can compare the effects of market volatilities on IShares II and IShares AEX 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 II with a short position of IShares AEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares II and IShares AEX.
Diversification Opportunities for IShares II and IShares AEX
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and IShares is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding iShares II Public and iShares AEX UCITS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares AEX UCITS and IShares II 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 II Public are associated (or correlated) with IShares AEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares AEX UCITS has no effect on the direction of IShares II i.e., IShares II and IShares AEX go up and down completely randomly.
Pair Corralation between IShares II and IShares AEX
Assuming the 90 days trading horizon iShares II Public is expected to generate 1.11 times more return on investment than IShares AEX. However, IShares II is 1.11 times more volatile than iShares AEX UCITS. It trades about 0.06 of its potential returns per unit of risk. iShares AEX UCITS is currently generating about 0.06 per unit of risk. If you would invest 3,862 in iShares II Public on September 3, 2024 and sell it today you would earn a total of 1,019 from holding iShares II Public or generate 26.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares II Public vs. iShares AEX UCITS
Performance |
| Timeline |
| iShares II Public |
| iShares AEX UCITS |
IShares II and IShares AEX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares II and IShares AEX
The main advantage of trading using opposite IShares II and IShares AEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares II position performs unexpectedly, IShares AEX 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 AEX will offset losses from the drop in IShares AEX's long position.| IShares II vs. Vanguard FTSE Developed | IShares II vs. HSBC MSCI Japan | IShares II vs. Hydratec Industries NV | IShares II vs. VanEck Polkadot ETN |
| IShares AEX vs. Vanguard FTSE Developed | IShares AEX vs. HSBC MSCI Japan | IShares AEX vs. iShares II Public | IShares AEX vs. Hydratec Industries NV |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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