Correlation Between IShares SP and VanEck CMCI
Can any of the company-specific risk be diversified away by investing in both IShares SP and VanEck CMCI 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 SP and VanEck CMCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SP GSCI and VanEck CMCI Commodity, you can compare the effects of market volatilities on IShares SP and VanEck CMCI 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 SP with a short position of VanEck CMCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and VanEck CMCI.
Diversification Opportunities for IShares SP and VanEck CMCI
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and VanEck is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP GSCI and VanEck CMCI Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck CMCI Commodity and IShares SP 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 SP GSCI are associated (or correlated) with VanEck CMCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck CMCI Commodity has no effect on the direction of IShares SP i.e., IShares SP and VanEck CMCI go up and down completely randomly.
Pair Corralation between IShares SP and VanEck CMCI
Considering the 90-day investment horizon iShares SP GSCI is expected to generate 1.45 times more return on investment than VanEck CMCI. However, IShares SP is 1.45 times more volatile than VanEck CMCI Commodity. It trades about 0.03 of its potential returns per unit of risk. VanEck CMCI Commodity is currently generating about 0.03 per unit of risk. If you would invest 1,971 in iShares SP GSCI on September 2, 2024 and sell it today you would earn a total of 143.00 from holding iShares SP GSCI or generate 7.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SP GSCI vs. VanEck CMCI Commodity
Performance |
| Timeline |
| iShares SP GSCI |
| VanEck CMCI Commodity |
IShares SP and VanEck CMCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and VanEck CMCI
The main advantage of trading using opposite IShares SP and VanEck CMCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, VanEck CMCI 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 VanEck CMCI will offset losses from the drop in VanEck CMCI's long position.| IShares SP vs. Invesco DB Commodity | IShares SP vs. iPath Bloomberg Commodity | IShares SP vs. Invesco DB Base | IShares SP vs. Invesco DB Agriculture |
| VanEck CMCI vs. Invesco DB Agriculture | VanEck CMCI vs. Invesco DB Base | VanEck CMCI vs. iPath Bloomberg Commodity | VanEck CMCI vs. VanEck Agribusiness ETF |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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