Correlation Between Invesco CurrencyShares and IShares 20
Can any of the company-specific risk be diversified away by investing in both Invesco CurrencyShares and IShares 20 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 Invesco CurrencyShares and IShares 20 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco CurrencyShares Japanese and iShares 20 Year, you can compare the effects of market volatilities on Invesco CurrencyShares and IShares 20 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 Invesco CurrencyShares with a short position of IShares 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco CurrencyShares and IShares 20.
Diversification Opportunities for Invesco CurrencyShares and IShares 20
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Invesco and IShares is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Invesco CurrencyShares Japanes and iShares 20 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares 20 Year and Invesco CurrencyShares 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 Invesco CurrencyShares Japanese are associated (or correlated) with IShares 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares 20 Year has no effect on the direction of Invesco CurrencyShares i.e., Invesco CurrencyShares and IShares 20 go up and down completely randomly.
Pair Corralation between Invesco CurrencyShares and IShares 20
Considering the 90-day investment horizon Invesco CurrencyShares Japanese is expected to generate 0.64 times more return on investment than IShares 20. However, Invesco CurrencyShares Japanese is 1.57 times less risky than IShares 20. It trades about 0.02 of its potential returns per unit of risk. iShares 20 Year is currently generating about -0.1 per unit of risk. If you would invest 5,904 in Invesco CurrencyShares Japanese on October 21, 2024 and sell it today you would earn a total of 10.00 from holding Invesco CurrencyShares Japanese or generate 0.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco CurrencyShares Japanes vs. iShares 20 Year
Performance |
| Timeline |
| Invesco CurrencyShares |
| iShares 20 Year |
Invesco CurrencyShares and IShares 20 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco CurrencyShares and IShares 20
The main advantage of trading using opposite Invesco CurrencyShares and IShares 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco CurrencyShares position performs unexpectedly, IShares 20 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 20 will offset losses from the drop in IShares 20's long position.The idea behind Invesco CurrencyShares Japanese and iShares 20 Year pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| IShares 20 vs. iShares 7 10 Year | IShares 20 vs. iShares 1 3 Year | IShares 20 vs. iShares Russell 2000 | IShares 20 vs. iShares iBoxx Investment |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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