Correlation Between IShares IBoxx and Franklin Liberty
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx and Franklin Liberty 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 IBoxx and Franklin Liberty into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares iBoxx High and Franklin Liberty High, you can compare the effects of market volatilities on IShares IBoxx and Franklin Liberty 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 IBoxx with a short position of Franklin Liberty. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and Franklin Liberty.
Diversification Opportunities for IShares IBoxx and Franklin Liberty
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Franklin is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx High and Franklin Liberty High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Liberty High and IShares IBoxx 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 iBoxx High are associated (or correlated) with Franklin Liberty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Liberty High has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and Franklin Liberty go up and down completely randomly.
Pair Corralation between IShares IBoxx and Franklin Liberty
Considering the 90-day investment horizon iShares iBoxx High is expected to generate 1.04 times more return on investment than Franklin Liberty. However, IShares IBoxx is 1.04 times more volatile than Franklin Liberty High. It trades about 0.04 of its potential returns per unit of risk. Franklin Liberty High is currently generating about -0.02 per unit of risk. If you would invest 7,924 in iShares iBoxx High on August 26, 2024 and sell it today you would earn a total of 25.00 from holding iShares iBoxx High or generate 0.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares iBoxx High vs. Franklin Liberty High
Performance |
| Timeline |
| iShares iBoxx High |
| Franklin Liberty High |
IShares IBoxx and Franklin Liberty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and Franklin Liberty
The main advantage of trading using opposite IShares IBoxx and Franklin Liberty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx position performs unexpectedly, Franklin Liberty 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 Franklin Liberty will offset losses from the drop in Franklin Liberty's long position.| IShares IBoxx vs. First Trust Senior | IShares IBoxx vs. First Trust Low | IShares IBoxx vs. First Trust Enhanced | IShares IBoxx vs. First Trust TCW |
| Franklin Liberty vs. First Trust Senior | Franklin Liberty vs. First Trust Low | Franklin Liberty vs. First Trust Enhanced | Franklin Liberty vs. First Trust TCW |
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 CEOs Directory module to screen CEOs from public companies around the world.
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