Correlation Between Franklin Liberty and IShares IBoxx
Can any of the company-specific risk be diversified away by investing in both Franklin Liberty and IShares IBoxx 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 Franklin Liberty and IShares IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Franklin Liberty Investment and iShares iBoxx Investment, you can compare the effects of market volatilities on Franklin Liberty and IShares IBoxx 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 Franklin Liberty with a short position of IShares IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Franklin Liberty and IShares IBoxx.
Diversification Opportunities for Franklin Liberty and IShares IBoxx
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Franklin and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Franklin Liberty Investment and iShares iBoxx Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Investment and Franklin Liberty 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 Franklin Liberty Investment are associated (or correlated) with IShares IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares iBoxx Investment has no effect on the direction of Franklin Liberty i.e., Franklin Liberty and IShares IBoxx go up and down completely randomly.
Pair Corralation between Franklin Liberty and IShares IBoxx
Given the investment horizon of 90 days Franklin Liberty is expected to generate 1.05 times less return on investment than IShares IBoxx. But when comparing it to its historical volatility, Franklin Liberty Investment is 1.23 times less risky than IShares IBoxx. It trades about 0.04 of its potential returns per unit of risk. iShares iBoxx Investment is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 10,037 in iShares iBoxx Investment on August 30, 2024 and sell it today you would earn a total of 950.00 from holding iShares iBoxx Investment or generate 9.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Franklin Liberty Investment vs. iShares iBoxx Investment
Performance |
| Timeline |
| Franklin Liberty Inv |
| iShares iBoxx Investment |
Franklin Liberty and IShares IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Franklin Liberty and IShares IBoxx
The main advantage of trading using opposite Franklin Liberty and IShares IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Franklin Liberty position performs unexpectedly, IShares IBoxx 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 IBoxx will offset losses from the drop in IShares IBoxx's long position.| Franklin Liberty vs. Franklin Liberty Short | Franklin Liberty vs. Goldman Sachs Access | Franklin Liberty vs. Franklin Templeton ETF | Franklin Liberty vs. Franklin Liberty Federal |
| IShares IBoxx vs. iShares iBoxx High | IShares IBoxx vs. iShares 1 3 Year | IShares IBoxx vs. iShares TIPS Bond | IShares IBoxx vs. iShares 7 10 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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