Correlation Between Vanguard FTSE and IShares Core
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and IShares Core 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 FTSE and IShares Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Canadian and iShares Core SP, you can compare the effects of market volatilities on Vanguard FTSE and IShares Core 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 FTSE with a short position of IShares Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and IShares Core.
Diversification Opportunities for Vanguard FTSE and IShares Core
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and IShares is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Canadian and iShares Core SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Core SP and Vanguard FTSE 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 FTSE Canadian are associated (or correlated) with IShares Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Core SP has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and IShares Core go up and down completely randomly.
Pair Corralation between Vanguard FTSE and IShares Core
Assuming the 90 days trading horizon Vanguard FTSE is expected to generate 1.96 times less return on investment than IShares Core. But when comparing it to its historical volatility, Vanguard FTSE Canadian is 1.08 times less risky than IShares Core. It trades about 0.08 of its potential returns per unit of risk. iShares Core SP is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 3,774 in iShares Core SP on September 26, 2024 and sell it today you would earn a total of 2,637 from holding iShares Core SP or generate 69.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Canadian vs. iShares Core SP
Performance |
| Timeline |
| Vanguard FTSE Canadian |
| iShares Core SP |
Vanguard FTSE and IShares Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and IShares Core
The main advantage of trading using opposite Vanguard FTSE and IShares Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, IShares Core 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 Core will offset losses from the drop in IShares Core's long position.| Vanguard FTSE vs. Vanguard FTSE Canadian | Vanguard FTSE vs. iShares Core SPTSX | Vanguard FTSE vs. iShares SPTSX Canadian |
| IShares Core vs. Vanguard SP 500 | IShares Core vs. Vanguard FTSE Canadian | IShares Core vs. iShares NASDAQ 100 | IShares Core vs. Vanguard FTSE Canada |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
Other Complementary Tools
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital |