Correlation Between Vanguard FTSE and IShares ESG
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and IShares ESG 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 ESG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Emerging and iShares ESG MSCI, you can compare the effects of market volatilities on Vanguard FTSE and IShares ESG 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 ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and IShares ESG.
Diversification Opportunities for Vanguard FTSE and IShares ESG
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and IShares is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Emerging and iShares ESG MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG MSCI 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 Emerging are associated (or correlated) with IShares ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares ESG MSCI has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and IShares ESG go up and down completely randomly.
Pair Corralation between Vanguard FTSE and IShares ESG
Considering the 90-day investment horizon Vanguard FTSE Emerging is expected to generate 0.96 times more return on investment than IShares ESG. However, Vanguard FTSE Emerging is 1.04 times less risky than IShares ESG. It trades about -0.2 of its potential returns per unit of risk. iShares ESG MSCI is currently generating about -0.23 per unit of risk. If you would invest 4,743 in Vanguard FTSE Emerging on August 23, 2024 and sell it today you would lose (203.00) from holding Vanguard FTSE Emerging or give up 4.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Emerging vs. iShares ESG MSCI
Performance |
| Timeline |
| Vanguard FTSE Emerging |
| iShares ESG MSCI |
Vanguard FTSE and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and IShares ESG
The main advantage of trading using opposite Vanguard FTSE and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, IShares ESG 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 ESG will offset losses from the drop in IShares ESG's long position.| Vanguard FTSE vs. Vanguard FTSE Developed | Vanguard FTSE vs. Vanguard Real Estate | Vanguard FTSE vs. Vanguard Small Cap Index | Vanguard FTSE vs. Vanguard Total Stock |
| IShares ESG vs. iShares ESG MSCI | IShares ESG vs. iShares ESG Advanced | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG Advanced |
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.
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