Correlation Between IShares MSCI and IShares STOXX
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and IShares STOXX 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 MSCI and IShares STOXX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI Brazil and iShares STOXX Europe, you can compare the effects of market volatilities on IShares MSCI and IShares STOXX 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 MSCI with a short position of IShares STOXX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares STOXX.
Diversification Opportunities for IShares MSCI and IShares STOXX
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Brazil and iShares STOXX Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares STOXX Europe and IShares MSCI 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 MSCI Brazil are associated (or correlated) with IShares STOXX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares STOXX Europe has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares STOXX go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares STOXX
Assuming the 90 days trading horizon iShares MSCI Brazil is expected to under-perform the IShares STOXX. In addition to that, IShares MSCI is 1.83 times more volatile than iShares STOXX Europe. It trades about -0.05 of its total potential returns per unit of risk. iShares STOXX Europe is currently generating about 0.06 per unit of volatility. If you would invest 4,037 in iShares STOXX Europe on September 3, 2024 and sell it today you would earn a total of 397.00 from holding iShares STOXX Europe or generate 9.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI Brazil vs. iShares STOXX Europe
Performance |
| Timeline |
| iShares MSCI Brazil |
| iShares STOXX Europe |
IShares MSCI and IShares STOXX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares STOXX
The main advantage of trading using opposite IShares MSCI and IShares STOXX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, IShares STOXX 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 STOXX will offset losses from the drop in IShares STOXX's long position.| IShares MSCI vs. Vanguard FTSE Developed | IShares MSCI vs. HSBC MSCI Japan | IShares MSCI vs. iShares II Public | IShares MSCI vs. Hydratec Industries NV |
| IShares STOXX vs. iShares III Public | IShares STOXX vs. iShares Core MSCI | IShares STOXX vs. iShares France Govt | IShares STOXX vs. iShares Edge MSCI |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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