Correlation Between IShares MSCI and IShares Global
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and IShares Global 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 Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI EAFE and iShares Global Materials, you can compare the effects of market volatilities on IShares MSCI and IShares Global 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 Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares Global.
Diversification Opportunities for IShares MSCI and IShares Global
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE and iShares Global Materials in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Global Materials 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 EAFE are associated (or correlated) with IShares Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Global Materials has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares Global go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares Global
Considering the 90-day investment horizon iShares MSCI EAFE is expected to under-perform the IShares Global. But the etf apears to be less risky and, when comparing its historical volatility, iShares MSCI EAFE is 1.17 times less risky than IShares Global. The etf trades about -0.28 of its potential returns per unit of risk. The iShares Global Materials is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 8,872 in iShares Global Materials on January 20, 2024 and sell it today you would lose (182.00) from holding iShares Global Materials or give up 2.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI EAFE vs. iShares Global Materials
Performance |
| Timeline |
| iShares MSCI EAFE |
| iShares Global Materials |
IShares MSCI and IShares Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares Global
The main advantage of trading using opposite IShares MSCI and IShares Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, IShares Global 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 Global will offset losses from the drop in IShares Global's long position.| IShares MSCI vs. Northern Lights | IShares MSCI vs. Dimensional International High | IShares MSCI vs. Matthews China Discovery | IShares MSCI vs. Davis Select International |
| IShares Global vs. iShares Global Industrials | IShares Global vs. iShares Global Utilities | IShares Global vs. iShares Global Consumer | IShares Global vs. iShares Global Consumer |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Other Complementary Tools
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals |