Correlation Between IShares MSCI and IShares Currency
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and IShares Currency 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 Currency 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 Currency Hedged, you can compare the effects of market volatilities on IShares MSCI and IShares Currency 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 Currency. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and IShares Currency.
Diversification Opportunities for IShares MSCI and IShares Currency
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and IShares is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE and iShares Currency Hedged in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Currency Hedged 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 Currency. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Currency Hedged has no effect on the direction of IShares MSCI i.e., IShares MSCI and IShares Currency go up and down completely randomly.
Pair Corralation between IShares MSCI and IShares Currency
Considering the 90-day investment horizon iShares MSCI EAFE is expected to under-perform the IShares Currency. In addition to that, IShares MSCI is 1.34 times more volatile than iShares Currency Hedged. It trades about -0.28 of its total potential returns per unit of risk. iShares Currency Hedged is currently generating about -0.15 per unit of volatility. If you would invest 3,119 in iShares Currency Hedged on January 20, 2024 and sell it today you would lose (52.00) from holding iShares Currency Hedged or give up 1.67% 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 Currency Hedged
Performance |
| Timeline |
| iShares MSCI EAFE |
| iShares Currency Hedged |
IShares MSCI and IShares Currency Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and IShares Currency
The main advantage of trading using opposite IShares MSCI and IShares Currency positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, IShares Currency 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 Currency will offset losses from the drop in IShares Currency'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 Currency vs. iShares Currency Hedged | IShares Currency vs. iShares MSCI Intl | IShares Currency vs. iShares Currency Hedged |
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 CEOs Directory module to screen CEOs from public companies around the world.
Other Complementary Tools
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine |