Correlation Between IShares Core and DoubleLine Shiller

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

By analyzing existing cross correlation between iShares Core SP and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on IShares Core and DoubleLine Shiller 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 Core with a short position of DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and DoubleLine Shiller.

Diversification Opportunities for IShares Core and DoubleLine Shiller

0.94

Correlation Coefficient

IShares Core  DoubleLine Shiller

Almost no diversification

The 3 months correlation between IShares and DoubleLine is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP and DoubleLine Shiller CAPE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DoubleLine Shiller CAPE and IShares Core 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 Core SP are associated (or correlated) with DoubleLine Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DoubleLine Shiller CAPE has no effect on the direction of IShares Core i.e., IShares Core and DoubleLine Shiller go up and down completely randomly.

Pair Corralation between IShares Core and DoubleLine Shiller

Considering the 90-day investment horizon iShares Core SP is expected to generate 1.0 times more return on investment than DoubleLine Shiller. However, IShares Core is 1.0 times more volatile than DoubleLine Shiller CAPE. It trades about 0.17 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about 0.13 per unit of risk. If you would invest  41,017  in iShares Core SP on September 24, 2024 and sell it today you would earn a total of  18,316  from holding iShares Core SP or generate 44.65% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	99.66%
Values	Daily Returns

iShares Core SP  vs.  DoubleLine Shiller CAPE

iShares Core SP

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in iShares Core SP are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, IShares Core is not utilizing all of its potentials. The recent stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

DoubleLine Shiller CAPE

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, DoubleLine Shiller 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 Core and DoubleLine Shiller

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

The idea behind iShares Core SP and DoubleLine Shiller CAPE 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.