Correlation Between IShares MSCI and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and IShares SPTSX 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 IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI Europe and iShares SPTSX Small, you can compare the effects of market volatilities on IShares MSCI and IShares SPTSX 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 IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares SPTSX.
Diversification Opportunities for IShares MSCI and IShares SPTSX
-0.06 | Correlation Coefficient |
Good diversification
The 3 months correlation between IShares and IShares is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Europe and iShares SPTSX Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Small 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 Europe are associated (or correlated) with IShares SPTSX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SPTSX Small has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares SPTSX go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares SPTSX
Assuming the 90 days trading horizon iShares MSCI Europe is expected to under-perform the IShares SPTSX. But the etf apears to be less risky and, when comparing its historical volatility, iShares MSCI Europe is 1.43 times less risky than IShares SPTSX. The etf trades about -0.02 of its potential returns per unit of risk. The iShares SPTSX Small is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 1,947 in iShares SPTSX Small on September 1, 2024 and sell it today you would earn a total of 222.00 from holding iShares SPTSX Small or generate 11.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.21% |
| Values | Daily Returns |
iShares MSCI Europe vs. iShares SPTSX Small
Performance |
| Timeline |
| iShares MSCI Europe |
| iShares SPTSX Small |
IShares MSCI and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares SPTSX
The main advantage of trading using opposite IShares MSCI and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, IShares SPTSX 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 SPTSX will offset losses from the drop in IShares SPTSX's long position.| IShares MSCI vs. BMO Europe High | IShares MSCI vs. BMO High Dividend | IShares MSCI vs. BMO Covered Call | IShares MSCI vs. BMO Global High |
| IShares SPTSX vs. iShares Convertible Bond | IShares SPTSX vs. iShares SP Mid Cap | IShares SPTSX vs. iShares Edge MSCI | IShares SPTSX vs. iShares Flexible Monthly |
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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