Correlation Between IShares MSCI and Ultimus Managers

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

By analyzing existing cross correlation between iShares MSCI Global and Ultimus Managers Trust, you can compare the effects of market volatilities on IShares MSCI and Ultimus Managers 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 Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and Ultimus Managers.

Diversification Opportunities for IShares MSCI and Ultimus Managers

-0.12

Correlation Coefficient

IShares MSCI  Ultimus Managers

Good diversification

The 3 months correlation between IShares and Ultimus is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Global and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust 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 Global are associated (or correlated) with Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of IShares MSCI i.e., IShares MSCI and Ultimus Managers go up and down completely randomly.

Pair Corralation between IShares MSCI and Ultimus Managers

Given the investment horizon of 90 days iShares MSCI Global is expected to under-perform the Ultimus Managers. But the etf apears to be less risky and, when comparing its historical volatility, iShares MSCI Global is 1.14 times less risky than Ultimus Managers. The etf trades about -0.38 of its potential returns per unit of risk. The Ultimus Managers Trust is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  2,783  in Ultimus Managers Trust on September 28, 2024 and sell it today you would lose (56.00) from holding Ultimus Managers Trust or give up 2.01% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

iShares MSCI Global  vs.  Ultimus Managers Trust

iShares MSCI Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days iShares MSCI Global has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Etf's essential indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the ETF venture institutional investors.

Ultimus Managers Trust

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ultimus Managers Trust are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Ultimus Managers may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with IShares MSCI and Ultimus Managers

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

The idea behind iShares MSCI Global and Ultimus Managers Trust 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..