Correlation Between Vanguard FTSE and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE 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 FTSE 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 FTSE Pacific and iShares MSCI Brazil, you can compare the effects of market volatilities on Vanguard FTSE 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 FTSE with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and IShares MSCI.
Diversification Opportunities for Vanguard FTSE and IShares MSCI
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Vanguard and IShares is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Pacific and iShares MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Brazil and Vanguard FTSE 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 FTSE Pacific 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 Brazil has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and IShares MSCI go up and down completely randomly.
Pair Corralation between Vanguard FTSE and IShares MSCI
Considering the 90-day investment horizon Vanguard FTSE Pacific is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Vanguard FTSE Pacific is 1.51 times less risky than IShares MSCI. The etf trades about 0.0 of its potential returns per unit of risk. The iShares MSCI Brazil is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 3,209 in iShares MSCI Brazil on February 4, 2024 and sell it today you would earn a total of 22.00 from holding iShares MSCI Brazil or generate 0.69% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Vanguard FTSE Pacific vs. iShares MSCI Brazil
Performance |
Timeline |
Vanguard FTSE Pacific |
iShares MSCI Brazil |
Vanguard FTSE and IShares MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Vanguard FTSE and IShares MSCI
The main advantage of trading using opposite Vanguard FTSE and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE 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 FTSE vs. Vanguard FTSE Europe | Vanguard FTSE vs. Vanguard Large Cap Index | Vanguard FTSE vs. Vanguard Materials Index | Vanguard FTSE vs. Vanguard FTSE All World |
IShares MSCI vs. Franklin FTSE Mexico | IShares MSCI vs. Franklin FTSE India | IShares MSCI vs. Franklin FTSE South | IShares MSCI vs. Franklin FTSE Japan |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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