Correlation Between IShares IBoxx and PIMCO Intermediate
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx and PIMCO Intermediate 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 IBoxx and PIMCO Intermediate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares iBoxx Investment and PIMCO Intermediate Municipal, you can compare the effects of market volatilities on IShares IBoxx and PIMCO Intermediate 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 IBoxx with a short position of PIMCO Intermediate. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and PIMCO Intermediate.
Diversification Opportunities for IShares IBoxx and PIMCO Intermediate
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and PIMCO is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and PIMCO Intermediate Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO Intermediate and IShares IBoxx 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 iBoxx Investment are associated (or correlated) with PIMCO Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO Intermediate has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and PIMCO Intermediate go up and down completely randomly.
Pair Corralation between IShares IBoxx and PIMCO Intermediate
Considering the 90-day investment horizon iShares iBoxx Investment is expected to generate 2.58 times more return on investment than PIMCO Intermediate. However, IShares IBoxx is 2.58 times more volatile than PIMCO Intermediate Municipal. It trades about 0.04 of its potential returns per unit of risk. PIMCO Intermediate Municipal is currently generating about 0.08 per unit of risk. If you would invest 10,112 in iShares iBoxx Investment on September 3, 2024 and sell it today you would earn a total of 922.00 from holding iShares iBoxx Investment or generate 9.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares iBoxx Investment vs. PIMCO Intermediate Municipal
Performance |
| Timeline |
| iShares iBoxx Investment |
| PIMCO Intermediate |
IShares IBoxx and PIMCO Intermediate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and PIMCO Intermediate
The main advantage of trading using opposite IShares IBoxx and PIMCO Intermediate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx position performs unexpectedly, PIMCO Intermediate 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 PIMCO Intermediate will offset losses from the drop in PIMCO Intermediate's long position.| IShares IBoxx vs. iShares iBoxx High | IShares IBoxx vs. iShares 1 3 Year | IShares IBoxx vs. iShares TIPS Bond | IShares IBoxx vs. iShares 7 10 Year |
| PIMCO Intermediate vs. IQ MacKay Municipal | PIMCO Intermediate vs. Hartford Municipal Opportunities | PIMCO Intermediate vs. Columbia Multi Sector Municipal | PIMCO Intermediate vs. Franklin Liberty Federal |
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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