Correlation Between IShares SP and PIMCO RAFI
Can any of the company-specific risk be diversified away by investing in both IShares SP and PIMCO RAFI 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 PIMCO RAFI 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 PIMCO RAFI Dynamic, you can compare the effects of market volatilities on IShares SP and PIMCO RAFI 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 PIMCO RAFI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and PIMCO RAFI.
Diversification Opportunities for IShares SP and PIMCO RAFI
-0.01 | Correlation Coefficient |
Good diversification
The 3 months correlation between IShares and PIMCO is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP GSCI and PIMCO RAFI Dynamic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO RAFI Dynamic 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 PIMCO RAFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO RAFI Dynamic has no effect on the direction of IShares SP i.e., IShares SP and PIMCO RAFI go up and down completely randomly.
Pair Corralation between IShares SP and PIMCO RAFI
Considering the 90-day investment horizon iShares SP GSCI is expected to generate 1.51 times more return on investment than PIMCO RAFI. However, IShares SP is 1.51 times more volatile than PIMCO RAFI Dynamic. It trades about 0.09 of its potential returns per unit of risk. PIMCO RAFI Dynamic is currently generating about 0.1 per unit of risk. If you would invest 2,057 in iShares SP GSCI on November 2, 2024 and sell it today you would earn a total of 199.00 from holding iShares SP GSCI or generate 9.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SP GSCI vs. PIMCO RAFI Dynamic
Performance |
| Timeline |
| iShares SP GSCI |
| PIMCO RAFI Dynamic |
IShares SP and PIMCO RAFI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and PIMCO RAFI
The main advantage of trading using opposite IShares SP and PIMCO RAFI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, PIMCO RAFI 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 PIMCO RAFI will offset losses from the drop in PIMCO RAFI'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 |
| PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. JPMorgan Diversified Return | PIMCO RAFI vs. JPMorgan Diversified Return |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Other Complementary Tools
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |