Correlation Between IShares IBoxx and IShares ESG
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx 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 IBoxx 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 iBoxx Investment and iShares ESG USD, you can compare the effects of market volatilities on IShares IBoxx 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 IBoxx with a short position of IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and IShares ESG.
Diversification Opportunities for IShares IBoxx and IShares ESG
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and iShares ESG USD in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG USD 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 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 USD has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and IShares ESG go up and down completely randomly.
Pair Corralation between IShares IBoxx and IShares ESG
Considering the 90-day investment horizon iShares iBoxx Investment is expected to under-perform the IShares ESG. In addition to that, IShares IBoxx is 1.28 times more volatile than iShares ESG USD. It trades about -0.04 of its total potential returns per unit of risk. iShares ESG USD is currently generating about -0.04 per unit of volatility. If you would invest 2,307 in iShares ESG USD on August 24, 2024 and sell it today you would lose (9.00) from holding iShares ESG USD or give up 0.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares iBoxx Investment vs. iShares ESG USD
Performance |
| Timeline |
| iShares iBoxx Investment |
| iShares ESG USD |
IShares IBoxx and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and IShares ESG
The main advantage of trading using opposite IShares IBoxx and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx 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 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 |
| IShares ESG vs. VanEck Vectors Moodys | IShares ESG vs. BondBloxx ETF Trust | IShares ESG vs. Vanguard ESG Corporate | IShares ESG vs. Vanguard Intermediate Term Corporate |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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