Correlation Between IShares SP and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both IShares SP 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 SP 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 SP Mid Cap and iShares MSCI Europe, you can compare the effects of market volatilities on IShares SP 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 SP with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and IShares MSCI.
Diversification Opportunities for IShares SP and IShares MSCI
-0.4 | Correlation Coefficient |
Very good diversification
The 3 months correlation between IShares and IShares is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP Mid Cap and iShares MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Europe and IShares SP 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 SP Mid Cap 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 Europe has no effect on the direction of IShares SP i.e., IShares SP and IShares MSCI go up and down completely randomly.
Pair Corralation between IShares SP and IShares MSCI
Assuming the 90 days trading horizon iShares SP Mid Cap is expected to generate 2.0 times more return on investment than IShares MSCI. However, IShares SP is 2.0 times more volatile than iShares MSCI Europe. It trades about 0.25 of its potential returns per unit of risk. iShares MSCI Europe is currently generating about -0.16 per unit of risk. If you would invest 2,827 in iShares SP Mid Cap on August 30, 2024 and sell it today you would earn a total of 200.00 from holding iShares SP Mid Cap or generate 7.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SP Mid Cap vs. iShares MSCI Europe
Performance |
| Timeline |
| iShares SP Mid |
| iShares MSCI Europe |
IShares SP and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and IShares MSCI
The main advantage of trading using opposite IShares SP and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP 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 SP vs. iShares SPTSX Small | IShares SP vs. iShares MSCI Europe | IShares SP vs. BMO Aggregate Bond | IShares SP vs. iShares Canadian HYBrid |
| IShares MSCI vs. Vanguard FTSE Developed | IShares MSCI vs. Vanguard FTSE Emerging | IShares MSCI vs. Vanguard FTSE Developed | IShares MSCI vs. Vanguard Dividend Appreciation |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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