Correlation Between IShares SP and IShares Core
Can any of the company-specific risk be diversified away by investing in both IShares SP and IShares Core 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 Core 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 Core SP, you can compare the effects of market volatilities on IShares SP and IShares Core 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 Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and IShares Core.
Diversification Opportunities for IShares SP and IShares Core
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and IShares is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP Mid Cap and iShares Core SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Core SP 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 Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Core SP has no effect on the direction of IShares SP i.e., IShares SP and IShares Core go up and down completely randomly.
Pair Corralation between IShares SP and IShares Core
Assuming the 90 days trading horizon iShares SP Mid Cap is expected to generate 1.01 times more return on investment than IShares Core. However, IShares SP is 1.01 times more volatile than iShares Core SP. It trades about 0.21 of its potential returns per unit of risk. iShares Core SP is currently generating about 0.17 per unit of risk. If you would invest 2,778 in iShares SP Mid Cap on November 3, 2024 and sell it today you would earn a total of 110.00 from holding iShares SP Mid Cap or generate 3.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SP Mid Cap vs. iShares Core SP
Performance |
| Timeline |
| iShares SP Mid |
| iShares Core SP |
IShares SP and IShares Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and IShares Core
The main advantage of trading using opposite IShares SP and IShares Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, IShares Core 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 Core will offset losses from the drop in IShares Core's long position.| IShares SP vs. iShares Small Cap | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares Core SP | IShares SP vs. iShares MSCI Europe |
| IShares Core vs. iShares Core MSCI | IShares Core vs. iShares SP Mid Cap | IShares Core vs. iShares High Dividend | IShares Core vs. iShares MSCI Europe |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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