Correlation Between IShares Govt and Amundi MSCI

Can any of the company-specific risk be diversified away by investing in both IShares Govt and Amundi 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 Govt and Amundi MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between iShares Govt Bond and Amundi MSCI Europe, you can compare the effects of market volatilities on IShares Govt and Amundi 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 Govt with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Govt and Amundi MSCI.

Diversification Opportunities for IShares Govt and Amundi MSCI

0.37

Correlation Coefficient

IShares Govt  Amundi MSCI

Weak diversification

The 3 months correlation between IShares and Amundi is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding iShares Govt Bond and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe and IShares Govt 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 Govt Bond are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI Europe has no effect on the direction of IShares Govt i.e., IShares Govt and Amundi MSCI go up and down completely randomly.

Pair Corralation between IShares Govt and Amundi MSCI

Assuming the 90 days trading horizon IShares Govt is expected to generate 24.67 times less return on investment than Amundi MSCI. But when comparing it to its historical volatility, iShares Govt Bond is 12.66 times less risky than Amundi MSCI. It trades about 0.03 of its potential returns per unit of risk. Amundi MSCI Europe is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  2,485  in Amundi MSCI Europe on October 22, 2024 and sell it today you would earn a total of  5,542  from holding Amundi MSCI Europe or generate 223.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

iShares Govt Bond  vs.  Amundi MSCI Europe

iShares Govt Bond

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days iShares Govt Bond has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, IShares Govt is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Amundi MSCI Europe

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amundi MSCI Europe has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound technical and fundamental indicators, Amundi MSCI is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with IShares Govt and Amundi MSCI

The main advantage of trading using opposite IShares Govt and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Govt position performs unexpectedly, Amundi 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 Amundi MSCI will offset losses from the drop in Amundi MSCI's long position.

The idea behind iShares Govt Bond and Amundi MSCI Europe 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.