Correlation Between Vanguard Momentum and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard Momentum 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 Momentum 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 Momentum Factor and iShares MSCI USA, you can compare the effects of market volatilities on Vanguard Momentum 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 Momentum with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Momentum and IShares MSCI.
Diversification Opportunities for Vanguard Momentum and IShares MSCI
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and IShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Momentum Factor and iShares MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI USA and Vanguard Momentum 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 Momentum Factor 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 USA has no effect on the direction of Vanguard Momentum i.e., Vanguard Momentum and IShares MSCI go up and down completely randomly.
Pair Corralation between Vanguard Momentum and IShares MSCI
Given the investment horizon of 90 days Vanguard Momentum Factor is expected to under-perform the IShares MSCI. In addition to that, Vanguard Momentum is 1.52 times more volatile than iShares MSCI USA. It trades about -0.04 of its total potential returns per unit of risk. iShares MSCI USA is currently generating about 0.01 per unit of volatility. If you would invest 15,517 in iShares MSCI USA on September 14, 2024 and sell it today you would earn a total of 20.00 from holding iShares MSCI USA or generate 0.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Momentum Factor vs. iShares MSCI USA
Performance |
| Timeline |
| Vanguard Momentum Factor |
| iShares MSCI USA |
Vanguard Momentum and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Momentum and IShares MSCI
The main advantage of trading using opposite Vanguard Momentum and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Momentum 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 Momentum vs. Vanguard Multifactor | Vanguard Momentum vs. Vanguard Value Factor | Vanguard Momentum vs. Vanguard Minimum Volatility | Vanguard Momentum vs. Vanguard SP Small Cap |
| IShares MSCI vs. Vanguard Momentum Factor | IShares MSCI vs. Vanguard Multifactor | IShares MSCI vs. Vanguard Value Factor | IShares MSCI vs. Vanguard Minimum Volatility |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Other Complementary Tools
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| 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 | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon |