Correlation Between SP Funds and IShares Factors
Can any of the company-specific risk be diversified away by investing in both SP Funds 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 SP Funds and IShares Factors into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP Funds SP and iShares Factors Growth, you can compare the effects of market volatilities on SP Funds 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 SP Funds with a short position of IShares Factors. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP Funds and IShares Factors.
Diversification Opportunities for SP Funds and IShares Factors
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPUS and IShares is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding SP Funds SP 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 SP Funds 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 SP Funds SP 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 SP Funds i.e., SP Funds and IShares Factors go up and down completely randomly.
Pair Corralation between SP Funds and IShares Factors
Given the investment horizon of 90 days SP Funds is expected to generate 1.18 times less return on investment than IShares Factors. But when comparing it to its historical volatility, SP Funds SP is 1.2 times less risky than IShares Factors. It trades about 0.17 of its potential returns per unit of risk. iShares Factors Growth is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 5,598 in iShares Factors Growth on September 14, 2024 and sell it today you would earn a total of 136.00 from holding iShares Factors Growth or generate 2.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 80.95% |
| Values | Daily Returns |
SP Funds SP vs. iShares Factors Growth
Performance |
| Timeline |
| SP Funds SP |
| iShares Factors Growth |
SP Funds and IShares Factors Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SP Funds and IShares Factors
The main advantage of trading using opposite SP Funds and IShares Factors positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP Funds 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.| SP Funds vs. iShares Factors Growth | SP Funds vs. Absolute Core Strategy | SP Funds vs. iShares ESG Advanced | SP Funds vs. PIMCO RAFI Dynamic |
| 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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