Correlation Between IShares SP and IShares GSCI
Can any of the company-specific risk be diversified away by investing in both IShares SP and IShares GSCI 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 IShares GSCI 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 iShares GSCI Commodity, you can compare the effects of market volatilities on IShares SP and IShares GSCI 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 IShares GSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and IShares GSCI.
Diversification Opportunities for IShares SP and IShares GSCI
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP GSCI and iShares GSCI Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares GSCI 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 IShares GSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares GSCI Commodity has no effect on the direction of IShares SP i.e., IShares SP and IShares GSCI go up and down completely randomly.
Pair Corralation between IShares SP and IShares GSCI
Considering the 90-day investment horizon iShares SP GSCI is expected to generate 0.99 times more return on investment than IShares GSCI. However, iShares SP GSCI is 1.01 times less risky than IShares GSCI. It trades about 0.01 of its potential returns per unit of risk. iShares GSCI Commodity is currently generating about 0.0 per unit of risk. If you would invest 2,108 in iShares SP GSCI on August 31, 2024 and sell it today you would earn a total of 4.00 from holding iShares SP GSCI or generate 0.19% 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. iShares GSCI Commodity
Performance |
| Timeline |
| iShares SP GSCI |
| iShares GSCI Commodity |
IShares SP and IShares GSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and IShares GSCI
The main advantage of trading using opposite IShares SP and IShares GSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, IShares GSCI 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 GSCI will offset losses from the drop in IShares GSCI'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 |
| IShares GSCI vs. Invesco Optimum Yield | IShares GSCI vs. First Trust Global | IShares GSCI vs. iShares ESG Aware | IShares GSCI vs. iShares Fallen Angels |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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