Correlation Between IShares MSCI and TrueShares Active
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and TrueShares Active 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 MSCI and TrueShares Active into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI China and TrueShares Active Yield, you can compare the effects of market volatilities on IShares MSCI and TrueShares Active 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 MSCI with a short position of TrueShares Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and TrueShares Active.
Diversification Opportunities for IShares MSCI and TrueShares Active
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between IShares and TrueShares is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI China and TrueShares Active Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TrueShares Active Yield and IShares MSCI 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 MSCI China are associated (or correlated) with TrueShares Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TrueShares Active Yield has no effect on the direction of IShares MSCI i.e., IShares MSCI and TrueShares Active go up and down completely randomly.
Pair Corralation between IShares MSCI and TrueShares Active
Given the investment horizon of 90 days iShares MSCI China is expected to generate about the same return on investment as TrueShares Active Yield. However, IShares MSCI is 2.85 times more volatile than TrueShares Active Yield. It trades about 0.02 of its potential returns per unit of risk. TrueShares Active Yield is currently producing about 0.05 per unit of risk. If you would invest 2,344 in TrueShares Active Yield on September 13, 2024 and sell it today you would earn a total of 118.87 from holding TrueShares Active Yield or generate 5.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 31.72% |
| Values | Daily Returns |
iShares MSCI China vs. TrueShares Active Yield
Performance |
| Timeline |
| iShares MSCI China |
| TrueShares Active Yield |
IShares MSCI and TrueShares Active Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and TrueShares Active
The main advantage of trading using opposite IShares MSCI and TrueShares Active positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, TrueShares Active 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 TrueShares Active will offset losses from the drop in TrueShares Active's long position.| IShares MSCI vs. KraneShares CSI China | IShares MSCI vs. Invesco China Technology | IShares MSCI vs. iShares MSCI India | IShares MSCI vs. Xtrackers Harvest CSI |
| TrueShares Active vs. Cambria Trinity ETF | TrueShares Active vs. Northern Lights | TrueShares Active vs. Cambria Global Momentum | TrueShares Active vs. Alpha Architect Value |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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