Correlation Between IShares International and Invesco FTSE
Can any of the company-specific risk be diversified away by investing in both IShares International and Invesco FTSE 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 International and Invesco FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares International Select and Invesco FTSE RAFI, you can compare the effects of market volatilities on IShares International and Invesco FTSE 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 International with a short position of Invesco FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares International and Invesco FTSE.
Diversification Opportunities for IShares International and Invesco FTSE
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and Invesco is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding iShares International Select and Invesco FTSE RAFI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco FTSE RAFI and IShares International 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 International Select are associated (or correlated) with Invesco FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco FTSE RAFI has no effect on the direction of IShares International i.e., IShares International and Invesco FTSE go up and down completely randomly.
Pair Corralation between IShares International and Invesco FTSE
Considering the 90-day investment horizon iShares International Select is expected to generate 1.1 times more return on investment than Invesco FTSE. However, IShares International is 1.1 times more volatile than Invesco FTSE RAFI. It trades about 0.06 of its potential returns per unit of risk. Invesco FTSE RAFI is currently generating about 0.04 per unit of risk. If you would invest 2,842 in iShares International Select on September 12, 2024 and sell it today you would earn a total of 25.00 from holding iShares International Select or generate 0.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares International Select vs. Invesco FTSE RAFI
Performance |
| Timeline |
| iShares International |
| Invesco FTSE RAFI |
IShares International and Invesco FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares International and Invesco FTSE
The main advantage of trading using opposite IShares International and Invesco FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares International position performs unexpectedly, Invesco FTSE 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 Invesco FTSE will offset losses from the drop in Invesco FTSE's long position.| IShares International vs. Global X MSCI | IShares International vs. Global X Alternative | IShares International vs. First Trust Intl | IShares International vs. iShares AsiaPacific Dividend |
| Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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