Correlation Between VanEck Indonesia and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both VanEck Indonesia and IShares MSCI 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 VanEck Indonesia and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between VanEck Indonesia Index and iShares MSCI Philippines, you can compare the effects of market volatilities on VanEck Indonesia and IShares MSCI 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 VanEck Indonesia with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of VanEck Indonesia and IShares MSCI.
Diversification Opportunities for VanEck Indonesia and IShares MSCI
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between VanEck and IShares is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding VanEck Indonesia Index and iShares MSCI Philippines in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Philippines and VanEck Indonesia 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 VanEck Indonesia Index are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI Philippines has no effect on the direction of VanEck Indonesia i.e., VanEck Indonesia and IShares MSCI go up and down completely randomly.
Pair Corralation between VanEck Indonesia and IShares MSCI
Considering the 90-day investment horizon VanEck Indonesia Index is expected to generate 0.81 times more return on investment than IShares MSCI. However, VanEck Indonesia Index is 1.23 times less risky than IShares MSCI. It trades about -0.27 of its potential returns per unit of risk. iShares MSCI Philippines is currently generating about -0.24 per unit of risk. If you would invest 1,731 in VanEck Indonesia Index on August 30, 2024 and sell it today you would lose (107.00) from holding VanEck Indonesia Index or give up 6.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
VanEck Indonesia Index vs. iShares MSCI Philippines
Performance |
| Timeline |
| VanEck Indonesia Index |
| iShares MSCI Philippines |
VanEck Indonesia and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with VanEck Indonesia and IShares MSCI
The main advantage of trading using opposite VanEck Indonesia and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if VanEck Indonesia position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| VanEck Indonesia vs. iShares MSCI Thailand | VanEck Indonesia vs. iShares MSCI Chile | VanEck Indonesia vs. iShares MSCI Turkey | VanEck Indonesia vs. Global X MSCI |
| IShares MSCI vs. iShares MSCI Thailand | IShares MSCI vs. iShares MSCI Indonesia | IShares MSCI vs. iShares MSCI Poland | IShares MSCI vs. iShares MSCI Peru |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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