Correlation Between Vanguard and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard 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 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 SP 500 and iShares MSCI Global, you can compare the effects of market volatilities on Vanguard 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 with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard and IShares MSCI.
Diversification Opportunities for Vanguard and IShares MSCI
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and IShares is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard SP 500 and iShares MSCI Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Global and Vanguard 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 SP 500 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 Global has no effect on the direction of Vanguard i.e., Vanguard and IShares MSCI go up and down completely randomly.
Pair Corralation between Vanguard and IShares MSCI
Assuming the 90 days trading horizon Vanguard is expected to generate 4.47 times less return on investment than IShares MSCI. But when comparing it to its historical volatility, Vanguard SP 500 is 2.47 times less risky than IShares MSCI. It trades about 0.04 of its potential returns per unit of risk. iShares MSCI Global is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 697.00 in iShares MSCI Global on November 27, 2024 and sell it today you would earn a total of 54.00 from holding iShares MSCI Global or generate 7.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard SP 500 vs. iShares MSCI Global
Performance |
| Timeline |
| Vanguard SP 500 |
| iShares MSCI Global |
Vanguard and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard and IShares MSCI
The main advantage of trading using opposite Vanguard and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard 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 vs. Vanguard FTSE Emerging | Vanguard vs. Vanguard USD Emerging | Vanguard vs. Vanguard FTSE Developed | Vanguard vs. Vanguard FTSE Japan |
| IShares MSCI vs. iShares Corp Bond | IShares MSCI vs. iShares Emerging Asia | IShares MSCI vs. iShares VII PLC | IShares MSCI vs. iShares Asia Property |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
Other Complementary Tools
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Equity Valuation Check real value of public entities based on technical and fundamental data |