Correlation Between Vanguard Small and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard Small and IShares MSCI 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 Vanguard Small and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Value and iShares MSCI Intl, you can compare the effects of market volatilities on Vanguard Small and IShares MSCI 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 Vanguard Small with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small and IShares MSCI.
Diversification Opportunities for Vanguard Small and IShares MSCI
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Vanguard and IShares is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value and iShares MSCI Intl in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Intl and Vanguard Small 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 Vanguard Small Cap Value are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI Intl has no effect on the direction of Vanguard Small i.e., Vanguard Small and IShares MSCI go up and down completely randomly.
Pair Corralation between Vanguard Small and IShares MSCI
Considering the 90-day investment horizon Vanguard Small Cap Value is expected to generate 1.17 times more return on investment than IShares MSCI. However, Vanguard Small is 1.17 times more volatile than iShares MSCI Intl. It trades about 0.09 of its potential returns per unit of risk. iShares MSCI Intl is currently generating about 0.04 per unit of risk. If you would invest 15,785 in Vanguard Small Cap Value on August 31, 2024 and sell it today you would earn a total of 5,835 from holding Vanguard Small Cap Value or generate 36.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.73% |
| Values | Daily Returns |
Vanguard Small Cap Value vs. iShares MSCI Intl
Performance |
| Timeline |
| Vanguard Small Cap |
| iShares MSCI Intl |
Vanguard Small and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small and IShares MSCI
The main advantage of trading using opposite Vanguard Small and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| Vanguard Small vs. Vanguard Mid Cap Value | Vanguard Small vs. Vanguard Small Cap Growth | Vanguard Small vs. Vanguard Value Index | Vanguard Small vs. Vanguard Small Cap Index |
| IShares MSCI vs. Vanguard Global ex US | IShares MSCI vs. Vanguard FTSE All World | IShares MSCI vs. Vanguard Small Cap Value | IShares MSCI vs. Vanguard FTSE Pacific |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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