Correlation Between IShares Core and IShares SP
Can any of the company-specific risk be diversified away by investing in both IShares Core and IShares SP 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 Core and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core MSCI and iShares SP Global, you can compare the effects of market volatilities on IShares Core and IShares SP 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 Core with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and IShares SP.
Diversification Opportunities for IShares Core and IShares SP
0.49 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and iShares SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Global and IShares Core 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 Core MSCI are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP Global has no effect on the direction of IShares Core i.e., IShares Core and IShares SP go up and down completely randomly.
Pair Corralation between IShares Core and IShares SP
Assuming the 90 days trading horizon IShares Core is expected to generate 1.32 times less return on investment than IShares SP. But when comparing it to its historical volatility, iShares Core MSCI is 1.24 times less risky than IShares SP. It trades about 0.08 of its potential returns per unit of risk. iShares SP Global is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 4,027 in iShares SP Global on November 2, 2024 and sell it today you would earn a total of 1,547 from holding iShares SP Global or generate 38.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. iShares SP Global
Performance |
| Timeline |
| iShares Core MSCI |
| iShares SP Global |
IShares Core and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and IShares SP
The main advantage of trading using opposite IShares Core and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| IShares Core vs. CI Canada Quality | IShares Core vs. iShares Core SP | IShares Core vs. iShares MSCI Europe | IShares Core vs. iShares MSCI Europe |
| IShares SP vs. iShares SP Global | IShares SP vs. iShares Global Healthcare | IShares SP vs. iShares Global Infrastructure | IShares SP vs. iShares SPTSX Capped |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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