Correlation Between IShares Russell and IShares ESG
Can any of the company-specific risk be diversified away by investing in both IShares Russell and IShares ESG 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 Russell and IShares ESG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Russell 2000 and iShares ESG Screened, you can compare the effects of market volatilities on IShares Russell and IShares ESG 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 Russell with a short position of IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and IShares ESG.
Diversification Opportunities for IShares Russell and IShares ESG
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and IShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 2000 and iShares ESG Screened in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG Screened and IShares Russell 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 Russell 2000 are associated (or correlated) with IShares ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares ESG Screened has no effect on the direction of IShares Russell i.e., IShares Russell and IShares ESG go up and down completely randomly.
Pair Corralation between IShares Russell and IShares ESG
Considering the 90-day investment horizon IShares Russell is expected to generate 1.01 times less return on investment than IShares ESG. In addition to that, IShares Russell is 1.0 times more volatile than iShares ESG Screened. It trades about 0.25 of its total potential returns per unit of risk. iShares ESG Screened is currently generating about 0.25 per unit of volatility. If you would invest 4,086 in iShares ESG Screened on August 26, 2024 and sell it today you would earn a total of 377.00 from holding iShares ESG Screened or generate 9.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Russell 2000 vs. iShares ESG Screened
Performance |
| Timeline |
| iShares Russell 2000 |
| iShares ESG Screened |
IShares Russell and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Russell and IShares ESG
The main advantage of trading using opposite IShares Russell and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Russell position performs unexpectedly, IShares ESG 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 ESG will offset losses from the drop in IShares ESG's long position.| IShares Russell vs. SPDR Dow Jones | IShares Russell vs. iShares MSCI Emerging | IShares Russell vs. Financial Select Sector | IShares Russell vs. SPDR SP 500 |
| IShares ESG vs. Invesco PureBeta MSCI | IShares ESG vs. Aquagold International | IShares ESG vs. Morningstar Unconstrained Allocation | IShares ESG vs. High Yield Municipal Fund |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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