Correlation Between IShares Factors and IShares SP
Can any of the company-specific risk be diversified away by investing in both IShares Factors and IShares SP 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 SP 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 SP 500, you can compare the effects of market volatilities on IShares Factors and IShares SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Factors and IShares SP.
Diversification Opportunities for IShares Factors and IShares SP
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding iShares Factors Growth and iShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 500 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 500 has no effect on the direction of IShares Factors i.e., IShares Factors and IShares SP go up and down completely randomly.
Pair Corralation between IShares Factors and IShares SP
Given the investment horizon of 90 days IShares Factors is expected to generate 1.21 times less return on investment than IShares SP. In addition to that, IShares Factors is 1.14 times more volatile than iShares SP 500. It trades about 0.13 of its total potential returns per unit of risk. iShares SP 500 is currently generating about 0.19 per unit of volatility. If you would invest 10,108 in iShares SP 500 on September 13, 2024 and sell it today you would earn a total of 309.00 from holding iShares SP 500 or generate 3.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 81.82% |
| Values | Daily Returns |
iShares Factors Growth vs. iShares SP 500
Performance |
| Timeline |
| iShares Factors Growth |
| iShares SP 500 |
IShares Factors and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Factors and IShares SP
The main advantage of trading using opposite IShares Factors and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Factors position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| IShares Factors vs. iShares ESG Advanced | IShares Factors vs. iShares Focused Value | IShares Factors vs. iShares MSCI USA |
| IShares SP vs. FT Vest Equity | IShares SP vs. Northern Lights | IShares SP vs. Dimensional International High | IShares SP vs. JPMorgan Fundamental Data |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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