Correlation Between IShares MSCI and IShares Factors
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and IShares Factors 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 IShares Factors 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 iShares Factors Growth, you can compare the effects of market volatilities on IShares MSCI and IShares Factors 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 IShares Factors. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares Factors.
Diversification Opportunities for IShares MSCI and IShares Factors
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between IShares and IShares is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI USA and iShares Factors Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Factors Growth 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 IShares Factors. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Factors Growth has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares Factors go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares Factors
Given the investment horizon of 90 days IShares MSCI is expected to generate 1.28 times less return on investment than IShares Factors. In addition to that, IShares MSCI is 1.09 times more volatile than iShares Factors Growth. It trades about 0.08 of its total potential returns per unit of risk. iShares Factors Growth is currently generating about 0.1 per unit of volatility. If you would invest 3,047 in iShares Factors Growth on August 30, 2024 and sell it today you would earn a total of 1,673 from holding iShares Factors Growth or generate 54.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 83.84% |
| Values | Daily Returns |
iShares MSCI USA vs. iShares Factors Growth
Performance |
| Timeline |
| iShares MSCI USA |
| iShares Factors Growth |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
IShares MSCI and IShares Factors Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares Factors
The main advantage of trading using opposite IShares MSCI and IShares Factors positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, IShares Factors 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 Factors will offset losses from the drop in IShares Factors' long position.| IShares MSCI vs. Vanguard Mid Cap Index | IShares MSCI vs. Vanguard Small Cap Value | IShares MSCI vs. Vanguard FTSE Emerging | IShares MSCI vs. Vanguard Large Cap Index |
| IShares Factors vs. iShares ESG Advanced | IShares Factors vs. iShares Focused Value | IShares Factors vs. iShares MSCI USA |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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