Correlation Between NYSE Composite and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and IShares MSCI 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 NYSE Composite and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and iShares MSCI Singapore, you can compare the effects of market volatilities on NYSE Composite and IShares MSCI 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 NYSE Composite with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and IShares MSCI.
Diversification Opportunities for NYSE Composite and IShares MSCI
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between NYSE and IShares is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and iShares MSCI Singapore in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Singapore and NYSE Composite 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 NYSE Composite are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI Singapore has no effect on the direction of NYSE Composite i.e., NYSE Composite and IShares MSCI go up and down completely randomly.
Pair Corralation between NYSE Composite and IShares MSCI
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.1 times less return on investment than IShares MSCI. But when comparing it to its historical volatility, NYSE Composite is 1.47 times less risky than IShares MSCI. It trades about 0.24 of its potential returns per unit of risk. iShares MSCI Singapore is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 2,181 in iShares MSCI Singapore on August 28, 2024 and sell it today you would earn a total of 81.00 from holding iShares MSCI Singapore or generate 3.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. iShares MSCI Singapore
Performance |
| Timeline |
NYSE Composite and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
iShares MSCI Singapore
Pair trading matchups for IShares MSCI
Pair Trading with NYSE Composite and IShares MSCI
The main advantage of trading using opposite NYSE Composite and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| NYSE Composite vs. Hooker Furniture | NYSE Composite vs. Hudson Pacific Properties | NYSE Composite vs. Canlan Ice Sports | NYSE Composite vs. Boston Properties |
| IShares MSCI vs. iShares MSCI Malaysia | IShares MSCI vs. iShares MSCI Hong | IShares MSCI vs. iShares MSCI Australia | IShares MSCI vs. iShares MSCI Taiwan |
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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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