Correlation Between IShares Russell and IShares SP
Can any of the company-specific risk be diversified away by investing in both IShares Russell 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 Russell 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 Russell Mid Cap and iShares SP Mid Cap, you can compare the effects of market volatilities on IShares Russell 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 Russell with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and IShares SP.
Diversification Opportunities for IShares Russell 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 Russell Mid Cap and iShares SP Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Mid 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 Mid Cap 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 Mid has no effect on the direction of IShares Russell i.e., IShares Russell and IShares SP go up and down completely randomly.
Pair Corralation between IShares Russell and IShares SP
Considering the 90-day investment horizon IShares Russell is expected to generate 1.12 times less return on investment than IShares SP. But when comparing it to its historical volatility, iShares Russell Mid Cap is 1.28 times less risky than IShares SP. It trades about 0.37 of its potential returns per unit of risk. iShares SP Mid Cap is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest 9,191 in iShares SP Mid Cap on August 27, 2024 and sell it today you would earn a total of 755.00 from holding iShares SP Mid Cap or generate 8.21% 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 Mid Cap vs. iShares SP Mid Cap
Performance |
| Timeline |
| iShares Russell Mid |
| iShares SP Mid |
IShares Russell and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Russell and IShares SP
The main advantage of trading using opposite IShares Russell and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Russell 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 Russell vs. iShares Russell Mid Cap | IShares Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell Mid Cap | IShares Russell vs. iShares Russell 3000 |
| IShares SP vs. JPMorgan Fundamental Data | IShares SP vs. Vanguard Mid Cap Index | IShares SP vs. SPDR SP 400 | IShares SP vs. SPDR SP 400 |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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