Correlation Between IShares MSCI and Pershing Square
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and Pershing Square 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 IShares MSCI and Pershing Square into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI World and Pershing Square Holdings, you can compare the effects of market volatilities on IShares MSCI and Pershing Square 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 IShares MSCI with a short position of Pershing Square. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Pershing Square.
Diversification Opportunities for IShares MSCI and Pershing Square
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and Pershing is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI World and Pershing Square Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pershing Square Holdings and IShares MSCI 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 iShares MSCI World are associated (or correlated) with Pershing Square. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pershing Square Holdings has no effect on the direction of IShares MSCI i.e., IShares MSCI and Pershing Square go up and down completely randomly.
Pair Corralation between IShares MSCI and Pershing Square
Assuming the 90 days trading horizon iShares MSCI World is expected to under-perform the Pershing Square. But the etf apears to be less risky and, when comparing its historical volatility, iShares MSCI World is 1.52 times less risky than Pershing Square. The etf trades about -0.01 of its potential returns per unit of risk. The Pershing Square Holdings is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 4,541 in Pershing Square Holdings on September 2, 2024 and sell it today you would earn a total of 249.00 from holding Pershing Square Holdings or generate 5.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI World vs. Pershing Square Holdings
Performance |
| Timeline |
| iShares MSCI World |
| Pershing Square Holdings |
IShares MSCI and Pershing Square Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and Pershing Square
The main advantage of trading using opposite IShares MSCI and Pershing Square positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, Pershing Square 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 Pershing Square will offset losses from the drop in Pershing Square's long position.| IShares MSCI vs. iShares Core MSCI | IShares MSCI vs. BlackRock ESG Multi Asset | IShares MSCI vs. Pershing Square Holdings | IShares MSCI vs. ASML Holding NV |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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