Correlation Between Abrdn Bloomberg and IShares GSCI

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Can any of the company-specific risk be diversified away by investing in both Abrdn Bloomberg and IShares GSCI 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 Abrdn Bloomberg and IShares GSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Abrdn Bloomberg All and IShares GSCI Commodity, you can compare the effects of market volatilities on Abrdn Bloomberg and IShares GSCI 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 Abrdn Bloomberg with a short position of IShares GSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abrdn Bloomberg and IShares GSCI.

Diversification Opportunities for Abrdn Bloomberg and IShares GSCI

0.67
  Correlation Coefficient

Poor diversification

The 3 months correlation between Abrdn and IShares is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Abrdn Bloomberg All and IShares GSCI Commodity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IShares GSCI Commodity and Abrdn Bloomberg 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 Abrdn Bloomberg All are associated (or correlated) with IShares GSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IShares GSCI Commodity has no effect on the direction of Abrdn Bloomberg i.e., Abrdn Bloomberg and IShares GSCI go up and down completely randomly.

Pair Corralation between Abrdn Bloomberg and IShares GSCI

Considering the 90-day investment horizon Abrdn Bloomberg is expected to generate 1.66 times less return on investment than IShares GSCI. But when comparing it to its historical volatility, Abrdn Bloomberg All is 1.44 times less risky than IShares GSCI. It trades about 0.32 of its potential returns per unit of risk. IShares GSCI Commodity is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest  2,563  in IShares GSCI Commodity on December 30, 2023 and sell it today you would earn a total of  137.00  from holding IShares GSCI Commodity or generate 5.35% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Abrdn Bloomberg All  vs.  IShares GSCI Commodity

 Performance 
       Timeline  
Abrdn Bloomberg All 

Risk-Adjusted Performance

6 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in Abrdn Bloomberg All are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite fairly strong fundamental indicators, Abrdn Bloomberg is not utilizing all of its potentials. The latest stock price confusion, may contribute to short-horizon losses for the traders.
IShares GSCI Commodity 

Risk-Adjusted Performance

15 of 100

 
Low
 
High
Good
Compared to the overall equity markets, risk-adjusted returns on investments in IShares GSCI Commodity are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady primary indicators, IShares GSCI may actually be approaching a critical reversion point that can send shares even higher in April 2024.

Abrdn Bloomberg and IShares GSCI Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Abrdn Bloomberg and IShares GSCI

The main advantage of trading using opposite Abrdn Bloomberg and IShares GSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abrdn Bloomberg position performs unexpectedly, IShares GSCI 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 GSCI will offset losses from the drop in IShares GSCI's long position.
The idea behind Abrdn Bloomberg All and IShares GSCI Commodity 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.

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