Correlation Between Vanguard Value and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard Value 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 Vanguard Value and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Value Index and iShares MSCI Global, you can compare the effects of market volatilities on Vanguard Value 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 Vanguard Value with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and IShares MSCI.
Diversification Opportunities for Vanguard Value and IShares MSCI
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and IShares is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index 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 Vanguard Value 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 Vanguard Value Index 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 Vanguard Value i.e., Vanguard Value and IShares MSCI go up and down completely randomly.
Pair Corralation between Vanguard Value and IShares MSCI
Considering the 90-day investment horizon Vanguard Value Index is expected to generate 0.7 times more return on investment than IShares MSCI. However, Vanguard Value Index is 1.42 times less risky than IShares MSCI. It trades about -0.07 of its potential returns per unit of risk. iShares MSCI Global is currently generating about -0.13 per unit of risk. If you would invest 16,008 in Vanguard Value Index on January 26, 2024 and sell it today you would lose (184.00) from holding Vanguard Value Index or give up 1.15% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Vanguard Value Index vs. iShares MSCI Global
Performance |
| Timeline |
| Vanguard Value Index |
| iShares MSCI Global |
Vanguard Value and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and IShares MSCI
The main advantage of trading using opposite Vanguard Value and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value 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.| Vanguard Value vs. Hartford Multifactor Emerging | Vanguard Value vs. Hartford Multifactor Developed | Vanguard Value vs. iShares Equity Factor | Vanguard Value vs. SPDR MSCI USA |
| IShares MSCI vs. SPDR MSCI EAFE | IShares MSCI vs. SPDR MSCI Emerging | IShares MSCI vs. SPDR MSCI USA | IShares MSCI vs. SPDR SP 1500 |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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