Correlation Between CoreShares TotalWldStock and JSE

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

By analyzing existing cross correlation between CoreShares TotalWldStock ETF and JSE Limited, you can compare the effects of market volatilities on CoreShares TotalWldStock and JSE 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 CoreShares TotalWldStock with a short position of JSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of CoreShares TotalWldStock and JSE.

Diversification Opportunities for CoreShares TotalWldStock and JSE

0.29

Correlation Coefficient

CoreShares TotalWldStock  JSE

Modest diversification

The 3 months correlation between CoreShares and JSE is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding CoreShares TotalWldStock ETF and JSE Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JSE Limited and CoreShares TotalWldStock 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 CoreShares TotalWldStock ETF are associated (or correlated) with JSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JSE Limited has no effect on the direction of CoreShares TotalWldStock i.e., CoreShares TotalWldStock and JSE go up and down completely randomly.

Pair Corralation between CoreShares TotalWldStock and JSE

Assuming the 90 days trading horizon CoreShares TotalWldStock is expected to generate 620.0 times less return on investment than JSE. But when comparing it to its historical volatility, CoreShares TotalWldStock ETF is 1.94 times less risky than JSE. It trades about 0.0 of its potential returns per unit of risk. JSE Limited is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,194,200  in JSE Limited on December 2, 2024 and sell it today you would earn a total of  40,600  from holding JSE Limited or generate 3.4% return on investment over 90 days.

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

CoreShares TotalWldStock ETF  vs.  JSE Limited

CoreShares TotalWldStock

Risk-Adjusted Performance

Very Weak

Over the last 90 days CoreShares TotalWldStock ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, CoreShares TotalWldStock is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

JSE Limited

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in JSE Limited are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound technical and fundamental indicators, JSE is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with CoreShares TotalWldStock and JSE

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

The idea behind CoreShares TotalWldStock ETF and JSE Limited 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.