Correlation Between NYSE Composite and IShares IBoxx
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and IShares IBoxx 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 IBoxx 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 iBoxx Investment, you can compare the effects of market volatilities on NYSE Composite and IShares IBoxx 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 IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and IShares IBoxx.
Diversification Opportunities for NYSE Composite and IShares IBoxx
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between NYSE and IShares is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and iShares iBoxx Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Investment 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 IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares iBoxx Investment has no effect on the direction of NYSE Composite i.e., NYSE Composite and IShares IBoxx go up and down completely randomly.
Pair Corralation between NYSE Composite and IShares IBoxx
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.44 times more return on investment than IShares IBoxx. However, NYSE Composite is 1.44 times more volatile than iShares iBoxx Investment. It trades about 0.14 of its potential returns per unit of risk. iShares iBoxx Investment is currently generating about 0.06 per unit of risk. If you would invest 1,592,915 in NYSE Composite on August 24, 2024 and sell it today you would earn a total of 403,915 from holding NYSE Composite or generate 25.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. iShares iBoxx Investment
Performance |
| Timeline |
NYSE Composite and IShares IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
iShares iBoxx Investment
Pair trading matchups for IShares IBoxx
Pair Trading with NYSE Composite and IShares IBoxx
The main advantage of trading using opposite NYSE Composite and IShares IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, IShares IBoxx 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 IBoxx will offset losses from the drop in IShares IBoxx's long position.| NYSE Composite vs. Awilco Drilling PLC | NYSE Composite vs. AKITA Drilling | NYSE Composite vs. SunOpta | NYSE Composite vs. Delek Drilling |
| 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 |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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