Correlation Between VanEck Indonesia and IShares MSCI

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

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

Diversification Opportunities for VanEck Indonesia and IShares MSCI

0.08

Correlation Coefficient

VanEck Indonesia  IShares MSCI

Significant diversification

The 3 months correlation between VanEck and IShares is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding VanEck Indonesia Index and iShares MSCI Turkey in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Turkey and VanEck Indonesia 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 VanEck Indonesia 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 Turkey has no effect on the direction of VanEck Indonesia i.e., VanEck Indonesia and IShares MSCI go up and down completely randomly.

Pair Corralation between VanEck Indonesia and IShares MSCI

Considering the 90-day investment horizon VanEck Indonesia Index is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, VanEck Indonesia Index is 1.22 times less risky than IShares MSCI. The etf trades about -0.14 of its potential returns per unit of risk. The iShares MSCI Turkey is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  3,625  in iShares MSCI Turkey on September 14, 2024 and sell it today you would earn a total of  102.00  from holding iShares MSCI Turkey or generate 2.81% return on investment over 90 days.

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

VanEck Indonesia Index  vs.  iShares MSCI Turkey

VanEck Indonesia Index

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days VanEck Indonesia Index has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest unsteady performance, the Etf's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

iShares MSCI Turkey

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in iShares MSCI Turkey are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, IShares MSCI is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with VanEck Indonesia and IShares MSCI

The main advantage of trading using opposite VanEck Indonesia and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if VanEck Indonesia 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.

The idea behind VanEck Indonesia Index and iShares MSCI Turkey 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.