Correlation Between IShares MSCI and Barclays ETN
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and Barclays ETN 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 Barclays ETN into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI USA and Barclays ETN Shiller, you can compare the effects of market volatilities on IShares MSCI and Barclays ETN 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 Barclays ETN. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Barclays ETN.
Diversification Opportunities for IShares MSCI and Barclays ETN
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Barclays is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI USA and Barclays ETN Shiller in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays ETN Shiller 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 USA are associated (or correlated) with Barclays ETN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays ETN Shiller has no effect on the direction of IShares MSCI i.e., IShares MSCI and Barclays ETN go up and down completely randomly.
Pair Corralation between IShares MSCI and Barclays ETN
Given the investment horizon of 90 days IShares MSCI is expected to generate 1.66 times less return on investment than Barclays ETN. But when comparing it to its historical volatility, iShares MSCI USA is 1.0 times less risky than Barclays ETN. It trades about 0.34 of its potential returns per unit of risk. Barclays ETN Shiller is currently generating about 0.56 of returns per unit of risk over similar time horizon. If you would invest 2,953 in Barclays ETN Shiller on September 1, 2024 and sell it today you would earn a total of 252.00 from holding Barclays ETN Shiller or generate 8.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI USA vs. Barclays ETN Shiller
Performance |
| Timeline |
| iShares MSCI USA |
| Barclays ETN Shiller |
IShares MSCI and Barclays ETN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and Barclays ETN
The main advantage of trading using opposite IShares MSCI and Barclays ETN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, Barclays ETN 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 Barclays ETN will offset losses from the drop in Barclays ETN's long position.| IShares MSCI vs. Vanguard Total Stock | IShares MSCI vs. SPDR SP 500 | IShares MSCI vs. iShares Core SP | IShares MSCI vs. Vanguard Dividend Appreciation |
| Barclays ETN vs. VanEck China Bond | Barclays ETN vs. Barclays ETN Select | Barclays ETN vs. SPDR SSGA Large | Barclays ETN vs. Freedom 100 Emerging |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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