Correlation Between IShares JP and SP 500
Can any of the company-specific risk be diversified away by investing in both IShares JP and SP 500 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 JP and SP 500 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares JP Morgan and SP 500 VIX, you can compare the effects of market volatilities on IShares JP and SP 500 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 JP with a short position of SP 500. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares JP and SP 500.
Diversification Opportunities for IShares JP and SP 500
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between IShares and VILX is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding iShares JP Morgan and SP 500 VIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SP 500 VIX and IShares JP 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 JP Morgan are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 VIX has no effect on the direction of IShares JP i.e., IShares JP and SP 500 go up and down completely randomly.
Pair Corralation between IShares JP and SP 500
Assuming the 90 days trading horizon IShares JP is expected to generate 9756.43 times less return on investment than SP 500. But when comparing it to its historical volatility, iShares JP Morgan is 216.31 times less risky than SP 500. It trades about 0.0 of its potential returns per unit of risk. SP 500 VIX is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 84.00 in SP 500 VIX on September 3, 2024 and sell it today you would earn a total of 193,143 from holding SP 500 VIX or generate 229932.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares JP Morgan vs. SP 500 VIX
Performance |
| Timeline |
| iShares JP Morgan |
| SP 500 VIX |
IShares JP and SP 500 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares JP and SP 500
The main advantage of trading using opposite IShares JP and SP 500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares JP position performs unexpectedly, SP 500 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 SP 500 will offset losses from the drop in SP 500's long position.| IShares JP vs. iShares MSCI Japan | IShares JP vs. iShares MSCI Europe | IShares JP vs. iShares Nasdaq Biotechnology | IShares JP vs. iShares Global Corp |
| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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