Correlation Between IShares Convertible and IShares SP
Can any of the company-specific risk be diversified away by investing in both IShares Convertible and IShares SP 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 Convertible and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Convertible Bond and iShares SP 100, you can compare the effects of market volatilities on IShares Convertible and IShares SP 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 Convertible with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Convertible and IShares SP.
Diversification Opportunities for IShares Convertible and IShares SP
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding iShares Convertible Bond and iShares SP 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 100 and IShares Convertible 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 Convertible Bond are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 100 has no effect on the direction of IShares Convertible i.e., IShares Convertible and IShares SP go up and down completely randomly.
Pair Corralation between IShares Convertible and IShares SP
Given the investment horizon of 90 days iShares Convertible Bond is expected to under-perform the IShares SP. But the etf apears to be less risky and, when comparing its historical volatility, iShares Convertible Bond is 2.44 times less risky than IShares SP. The etf trades about -0.14 of its potential returns per unit of risk. The iShares SP 100 is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 27,433 in iShares SP 100 on January 14, 2025 and sell it today you would lose (1,238) from holding iShares SP 100 or give up 4.51% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Convertible Bond vs. iShares SP 100
Performance |
| Timeline |
| iShares Convertible Bond |
| iShares SP 100 |
IShares Convertible and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Convertible and IShares SP
The main advantage of trading using opposite IShares Convertible and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Convertible position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| IShares Convertible vs. VanEck Vectors Moodys | IShares Convertible vs. Vanguard ESG Corporate | IShares Convertible vs. Pacer Cash Cows | IShares Convertible vs. Vanguard Intermediate Term Corporate |
| IShares SP vs. iShares Russell 1000 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares Russell 3000 | IShares SP vs. iShares SP Mid Cap |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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