Correlation Between Vanguard FTSE and IShares Edge

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and IShares Edge 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 Vanguard FTSE and IShares Edge into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Developed and iShares Edge MSCI, you can compare the effects of market volatilities on Vanguard FTSE and IShares Edge 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 Vanguard FTSE with a short position of IShares Edge. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and IShares Edge.

Diversification Opportunities for Vanguard FTSE and IShares Edge

VanguardISharesDiversified AwayVanguardISharesDiversified Away100%
0.77
  Correlation Coefficient

Poor diversification

The 3 months correlation between Vanguard and IShares is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and iShares Edge MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Edge MSCI and Vanguard FTSE 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 Vanguard FTSE Developed are associated (or correlated) with IShares Edge. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Edge MSCI has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and IShares Edge go up and down completely randomly.

Pair Corralation between Vanguard FTSE and IShares Edge

Assuming the 90 days trading horizon Vanguard FTSE Developed is expected to under-perform the IShares Edge. In addition to that, Vanguard FTSE is 1.79 times more volatile than iShares Edge MSCI. It trades about -0.09 of its total potential returns per unit of risk. iShares Edge MSCI is currently generating about -0.01 per unit of volatility. If you would invest  511,250  in iShares Edge MSCI on October 7, 2024 and sell it today you would lose (900.00) from holding iShares Edge MSCI or give up 0.18% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Vanguard FTSE Developed  vs.  iShares Edge MSCI

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -4-202468
JavaScript chart by amCharts 3.21.15VWCG IMV
       Timeline  
Vanguard FTSE Developed 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Vanguard FTSE Developed has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Etf's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the exchange-traded fund private investors.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan4344454647484950
iShares Edge MSCI 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days iShares Edge MSCI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound technical and fundamental indicators, IShares Edge is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan5,0005,0505,1005,1505,2005,250

Vanguard FTSE and IShares Edge Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-1.37-1.04-0.71-0.38-0.07410.08330.390.721.051.38 0.51.01.5
JavaScript chart by amCharts 3.21.15VWCG IMV
       Returns  

Pair Trading with Vanguard FTSE and IShares Edge

The main advantage of trading using opposite Vanguard FTSE and IShares Edge positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, IShares Edge 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 Edge will offset losses from the drop in IShares Edge's long position.
The idea behind Vanguard FTSE Developed and iShares Edge MSCI 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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.

Other Complementary Tools

Theme Ratings
Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance
Price Ceiling Movement
Calculate and plot Price Ceiling Movement for different equity instruments
Idea Optimizer
Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio
My Watchlist Analysis
Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like
Portfolio Optimization
Compute new portfolio that will generate highest expected return given your specified tolerance for risk