Correlation Between IShares MSCI and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both IShares MSCI 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 MSCI 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 MSCI Min and iShares MSCI Canada, you can compare the effects of market volatilities on IShares MSCI 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 MSCI with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares MSCI.
Diversification Opportunities for IShares MSCI and IShares MSCI
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and IShares is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Min and iShares MSCI Canada in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Canada 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 Min 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 Canada has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares MSCI go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares MSCI
Assuming the 90 days trading horizon IShares MSCI is expected to generate 1.62 times less return on investment than IShares MSCI. But when comparing it to its historical volatility, iShares MSCI Min is 1.1 times less risky than IShares MSCI. It trades about 0.08 of its potential returns per unit of risk. iShares MSCI Canada is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 3,548 in iShares MSCI Canada on September 3, 2024 and sell it today you would earn a total of 1,205 from holding iShares MSCI Canada or generate 33.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI Min vs. iShares MSCI Canada
Performance |
| Timeline |
| iShares MSCI Min |
| iShares MSCI Canada |
IShares MSCI and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares MSCI
The main advantage of trading using opposite IShares MSCI and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI 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 MSCI vs. iShares MSCI Min | IShares MSCI vs. iShares MSCI Canada | IShares MSCI vs. iShares MSCI Min | IShares MSCI vs. iShares MSCI Min |
| IShares MSCI vs. Mackenzie Large Cap | IShares MSCI vs. Goldman Sachs ActiveBeta | IShares MSCI vs. BMO MSCI EAFE | IShares MSCI vs. BMO Long Federal |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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