Correlation Between IShares Factors and IShares Focused
Can any of the company-specific risk be diversified away by investing in both IShares Factors and IShares Focused 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 Factors and IShares Focused into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Factors Growth and iShares Focused Value, you can compare the effects of market volatilities on IShares Factors and IShares Focused 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 Factors with a short position of IShares Focused. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Factors and IShares Focused.
Diversification Opportunities for IShares Factors and IShares Focused
0.29 | Correlation Coefficient |
Modest diversification
The 3 months correlation between IShares and IShares is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding iShares Factors Growth and iShares Focused Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Focused Value and IShares Factors 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 Factors Growth are associated (or correlated) with IShares Focused. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Focused Value has no effect on the direction of IShares Factors i.e., IShares Factors and IShares Focused go up and down completely randomly.
Pair Corralation between IShares Factors and IShares Focused
Given the investment horizon of 90 days IShares Factors is expected to generate 1.13 times less return on investment than IShares Focused. But when comparing it to its historical volatility, iShares Factors Growth is 1.03 times less risky than IShares Focused. It trades about 0.1 of its potential returns per unit of risk. iShares Focused Value is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 4,998 in iShares Focused Value on September 2, 2024 and sell it today you would earn a total of 2,608 from holding iShares Focused Value or generate 52.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 77.96% |
| Values | Daily Returns |
iShares Factors Growth vs. iShares Focused Value
Performance |
| Timeline |
| iShares Factors Growth |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| iShares Focused Value |
IShares Factors and IShares Focused Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Factors and IShares Focused
The main advantage of trading using opposite IShares Factors and IShares Focused positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Factors position performs unexpectedly, IShares Focused 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 Focused will offset losses from the drop in IShares Focused's long position.| IShares Factors vs. iShares ESG Advanced | IShares Factors vs. iShares Focused Value | IShares Factors vs. iShares MSCI USA |
| IShares Focused vs. Roundhill Acquirers Deep | IShares Focused vs. BlackRock Equity Factor | IShares Focused vs. iShares MSCI USA | IShares Focused vs. iShares Evolved Discretionary |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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