Correlation Between IShares Floating and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both IShares Floating 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 IShares Floating and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Floating Rate and iShares MSCI Min, you can compare the effects of market volatilities on IShares Floating 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 IShares Floating with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Floating and IShares MSCI.
Diversification Opportunities for IShares Floating and IShares MSCI
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding iShares Floating Rate and iShares MSCI Min in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Min and IShares Floating 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 Floating Rate 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 Min has no effect on the direction of IShares Floating i.e., IShares Floating and IShares MSCI go up and down completely randomly.
Pair Corralation between IShares Floating and IShares MSCI
Assuming the 90 days trading horizon IShares Floating is expected to generate 4.24 times less return on investment than IShares MSCI. But when comparing it to its historical volatility, iShares Floating Rate is 8.62 times less risky than IShares MSCI. It trades about 0.38 of its potential returns per unit of risk. iShares MSCI Min is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 4,623 in iShares MSCI Min on August 25, 2024 and sell it today you would earn a total of 995.00 from holding iShares MSCI Min or generate 21.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Floating Rate vs. iShares MSCI Min
Performance |
| Timeline |
| iShares Floating Rate |
| iShares MSCI Min |
IShares Floating and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Floating and IShares MSCI
The main advantage of trading using opposite IShares Floating and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Floating 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.| IShares Floating vs. Mackenzie Canadian Aggregate | IShares Floating vs. Mackenzie Canadian Short | IShares Floating vs. Mackenzie Core Plus | IShares Floating vs. Mackenzie Investment Grade |
| IShares MSCI vs. Vanguard FTSE Canada | IShares MSCI vs. Vanguard Canadian Aggregate | IShares MSCI vs. Vanguard Total Market | IShares MSCI vs. Vanguard FTSE Emerging |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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