Correlation Between UBS MSCI and UBS ETF
Can any of the company-specific risk be diversified away by investing in both UBS MSCI and UBS ETF 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 UBS MSCI and UBS ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between UBS MSCI Canada and UBS ETF plc, you can compare the effects of market volatilities on UBS MSCI and UBS ETF 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 UBS MSCI with a short position of UBS ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of UBS MSCI and UBS ETF.
Diversification Opportunities for UBS MSCI and UBS ETF
Very poor diversification
The 3 months correlation between UBS and UBS is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding UBS MSCI Canada and UBS ETF plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on UBS ETF plc and UBS 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 UBS MSCI Canada are associated (or correlated) with UBS ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of UBS ETF plc has no effect on the direction of UBS MSCI i.e., UBS MSCI and UBS ETF go up and down completely randomly.
Pair Corralation between UBS MSCI and UBS ETF
Assuming the 90 days trading horizon UBS MSCI Canada is expected to generate 0.92 times more return on investment than UBS ETF. However, UBS MSCI Canada is 1.09 times less risky than UBS ETF. It trades about 0.34 of its potential returns per unit of risk. UBS ETF plc is currently generating about 0.12 per unit of risk. If you would invest 342,200 in UBS MSCI Canada on August 26, 2024 and sell it today you would earn a total of 35,100 from holding UBS MSCI Canada or generate 10.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
UBS MSCI Canada vs. UBS ETF plc
Performance |
| Timeline |
| UBS MSCI Canada |
| UBS ETF plc |
UBS MSCI and UBS ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with UBS MSCI and UBS ETF
The main advantage of trading using opposite UBS MSCI and UBS ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if UBS MSCI position performs unexpectedly, UBS ETF 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 UBS ETF will offset losses from the drop in UBS ETF's long position.| UBS MSCI vs. Leverage Shares 3x | UBS MSCI vs. Leverage Shares 3x | UBS MSCI vs. Leverage Shares 3x | UBS MSCI vs. WisdomTree Short GBP |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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