Correlation Between VanEck IBoxx and VanEck Gold

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

By analyzing existing cross correlation between VanEck iBoxx EUR and VanEck Gold Miners, you can compare the effects of market volatilities on VanEck IBoxx and VanEck Gold 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 IBoxx with a short position of VanEck Gold. Check out your portfolio center. Please also check ongoing floating volatility patterns of VanEck IBoxx and VanEck Gold.

Diversification Opportunities for VanEck IBoxx and VanEck Gold

0.27

Correlation Coefficient

VanEck IBoxx  VanEck Gold

Modest diversification

The 3 months correlation between VanEck and VanEck is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding VanEck iBoxx EUR and VanEck Gold Miners in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck Gold Miners and VanEck IBoxx 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 iBoxx EUR are associated (or correlated) with VanEck Gold. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck Gold Miners has no effect on the direction of VanEck IBoxx i.e., VanEck IBoxx and VanEck Gold go up and down completely randomly.

Pair Corralation between VanEck IBoxx and VanEck Gold

Assuming the 90 days trading horizon VanEck iBoxx EUR is expected to under-perform the VanEck Gold. But the etf apears to be less risky and, when comparing its historical volatility, VanEck iBoxx EUR is 1.27 times less risky than VanEck Gold. The etf trades about -0.06 of its potential returns per unit of risk. The VanEck Gold Miners is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  3,728  in VanEck Gold Miners on September 15, 2024 and sell it today you would lose (91.00) from holding VanEck Gold Miners or give up 2.44% of portfolio value over 90 days.

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

VanEck iBoxx EUR  vs.  VanEck Gold Miners

VanEck iBoxx EUR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days VanEck iBoxx EUR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, VanEck IBoxx is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

VanEck Gold Miners

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days VanEck Gold Miners has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, VanEck Gold is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with VanEck IBoxx and VanEck Gold

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

The idea behind VanEck iBoxx EUR and VanEck Gold Miners 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.

Check out your portfolio center.

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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.