Correlation Between IShares Core and IShares MSCI

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Can any of the company-specific risk be diversified away by investing in both IShares Core 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 Core 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 Core MSCI and iShares MSCI Global, you can compare the effects of market volatilities on IShares Core 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 Core with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and IShares MSCI.

Diversification Opportunities for IShares Core and IShares MSCI

ISharesISharesDiversified AwayISharesISharesDiversified Away100%
0.83
  Correlation Coefficient

Very poor diversification

The 3 months correlation between IShares and IShares is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and iShares MSCI Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Global and IShares Core 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 Core MSCI 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 Global has no effect on the direction of IShares Core i.e., IShares Core and IShares MSCI go up and down completely randomly.

Pair Corralation between IShares Core and IShares MSCI

Assuming the 90 days trading horizon iShares Core MSCI is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, iShares Core MSCI is 1.84 times less risky than IShares MSCI. The etf trades about -0.13 of its potential returns per unit of risk. The iShares MSCI Global is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  753.00  in iShares MSCI Global on September 22, 2024 and sell it today you would lose (32.00) from holding iShares MSCI Global or give up 4.25% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

iShares Core MSCI  vs.  iShares MSCI Global

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -4-202468
JavaScript chart by amCharts 3.21.15EIMI SEMI
       Timeline  
iShares Core MSCI 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days iShares Core MSCI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, IShares Core is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec3434.53535.53636.53737.5
iShares MSCI Global 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days iShares MSCI Global has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, IShares MSCI is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec77.27.47.67.8

IShares Core and IShares MSCI Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-1.59-1.19-0.79-0.39-0.02660.280.681.081.481.88 0.050.100.150.200.250.300.350.40
JavaScript chart by amCharts 3.21.15EIMI SEMI
       Returns  

Pair Trading with IShares Core and IShares MSCI

The main advantage of trading using opposite IShares Core and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core 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.
The idea behind iShares Core MSCI and iShares MSCI Global pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.

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