Correlation Between Invesco SP and IShares Currency
Can any of the company-specific risk be diversified away by investing in both Invesco SP and IShares Currency 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 Invesco SP and IShares Currency into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco SP International and iShares Currency Hedged, you can compare the effects of market volatilities on Invesco SP and IShares Currency 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 Invesco SP with a short position of IShares Currency. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco SP and IShares Currency.
Diversification Opportunities for Invesco SP and IShares Currency
0.1 | Correlation Coefficient |
Average diversification
The 3 months correlation between Invesco and IShares is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP International and iShares Currency Hedged in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Currency Hedged and Invesco 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 Invesco SP International are associated (or correlated) with IShares Currency. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Currency Hedged has no effect on the direction of Invesco SP i.e., Invesco SP and IShares Currency go up and down completely randomly.
Pair Corralation between Invesco SP and IShares Currency
Given the investment horizon of 90 days Invesco SP International is expected to under-perform the IShares Currency. In addition to that, Invesco SP is 1.03 times more volatile than iShares Currency Hedged. It trades about -0.13 of its total potential returns per unit of risk. iShares Currency Hedged is currently generating about 0.0 per unit of volatility. If you would invest 3,517 in iShares Currency Hedged on August 25, 2024 and sell it today you would lose (2.00) from holding iShares Currency Hedged or give up 0.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco SP International vs. iShares Currency Hedged
Performance |
| Timeline |
| Invesco SP International |
| iShares Currency Hedged |
Invesco SP and IShares Currency Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco SP and IShares Currency
The main advantage of trading using opposite Invesco SP and IShares Currency positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco SP position performs unexpectedly, IShares Currency 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 Currency will offset losses from the drop in IShares Currency's long position.| Invesco SP vs. Dimensional Core Equity | Invesco SP vs. Dimensional Emerging Core | Invesco SP vs. Dimensional Targeted Value | Invesco SP vs. Dimensional Small Cap |
| IShares Currency vs. Dimensional Core Equity | IShares Currency vs. Dimensional Emerging Core | IShares Currency vs. Dimensional Targeted Value | IShares Currency vs. Dimensional Small 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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