Correlation Between RBC Quant and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both RBC Quant 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 RBC Quant and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between RBC Quant Emerging and iShares MSCI Min, you can compare the effects of market volatilities on RBC Quant 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 RBC Quant with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of RBC Quant and IShares MSCI.
Diversification Opportunities for RBC Quant and IShares MSCI
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between RBC and IShares is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding RBC Quant Emerging and iShares MSCI Min in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Min and RBC Quant 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 RBC Quant Emerging 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 Min has no effect on the direction of RBC Quant i.e., RBC Quant and IShares MSCI go up and down completely randomly.
Pair Corralation between RBC Quant and IShares MSCI
Assuming the 90 days trading horizon RBC Quant Emerging is expected to generate 1.66 times more return on investment than IShares MSCI. However, RBC Quant is 1.66 times more volatile than iShares MSCI Min. It trades about 0.09 of its potential returns per unit of risk. iShares MSCI Min is currently generating about 0.14 per unit of risk. If you would invest 1,808 in RBC Quant Emerging on August 29, 2024 and sell it today you would earn a total of 302.00 from holding RBC Quant Emerging or generate 16.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
RBC Quant Emerging vs. iShares MSCI Min
Performance |
| Timeline |
| RBC Quant Emerging |
| iShares MSCI Min |
RBC Quant and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with RBC Quant and IShares MSCI
The main advantage of trading using opposite RBC Quant and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if RBC Quant 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.| RBC Quant vs. RBC Quant European | RBC Quant vs. RBC Quant Canadian | RBC Quant vs. RBC Quant EAFE | RBC Quant vs. RBC Quant Dividend |
| IShares MSCI vs. iShares MSCI Min | IShares MSCI vs. iShares MSCI Canada | IShares MSCI vs. iShares MSCI Min | IShares MSCI vs. iShares MSCI Min |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. |