Correlation Between IShares AEX and IShares II
Can any of the company-specific risk be diversified away by investing in both IShares AEX and IShares II 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 AEX and IShares II into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares AEX UCITS and iShares II Public, you can compare the effects of market volatilities on IShares AEX and IShares II 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 AEX with a short position of IShares II. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares AEX and IShares II.
Diversification Opportunities for IShares AEX and IShares II
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and IShares is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding iShares AEX UCITS and iShares II Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares II Public and IShares AEX 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 AEX UCITS are associated (or correlated) with IShares II. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares II Public has no effect on the direction of IShares AEX i.e., IShares AEX and IShares II go up and down completely randomly.
Pair Corralation between IShares AEX and IShares II
Assuming the 90 days trading horizon iShares AEX UCITS is expected to generate 0.88 times more return on investment than IShares II. However, iShares AEX UCITS is 1.14 times less risky than IShares II. It trades about -0.02 of its potential returns per unit of risk. iShares II Public is currently generating about -0.03 per unit of risk. If you would invest 9,034 in iShares AEX UCITS on September 1, 2024 and sell it today you would lose (208.00) from holding iShares AEX UCITS or give up 2.3% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares AEX UCITS vs. iShares II Public
Performance |
| Timeline |
| iShares AEX UCITS |
| iShares II Public |
IShares AEX and IShares II Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares AEX and IShares II
The main advantage of trading using opposite IShares AEX and IShares II positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares AEX position performs unexpectedly, IShares II 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 II will offset losses from the drop in IShares II's long position.| IShares AEX vs. Vanguard SP 500 | IShares AEX vs. iShares II Public | IShares AEX vs. Vanguard FTSE All World | IShares AEX vs. iShares SP 500 |
| IShares II vs. iShares Core MSCI | IShares II vs. BlackRock ESG Multi Asset | IShares II vs. Pershing Square Holdings | IShares II vs. ASML Holding NV |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Other Complementary Tools
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance |