Correlation Between UBS AG and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both UBS AG 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 UBS AG and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between UBS AG FI and iShares MSCI EAFE, you can compare the effects of market volatilities on UBS AG 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 UBS AG with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of UBS AG and IShares MSCI.
Diversification Opportunities for UBS AG and IShares MSCI
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between UBS and IShares is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding UBS AG FI and iShares MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI EAFE and UBS AG 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 UBS AG FI 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 EAFE has no effect on the direction of UBS AG i.e., UBS AG and IShares MSCI go up and down completely randomly.
Pair Corralation between UBS AG and IShares MSCI
Given the investment horizon of 90 days UBS AG FI is expected to under-perform the IShares MSCI. In addition to that, UBS AG is 2.27 times more volatile than iShares MSCI EAFE. It trades about -0.31 of its total potential returns per unit of risk. iShares MSCI EAFE is currently generating about -0.13 per unit of volatility. If you would invest 6,285 in iShares MSCI EAFE on January 24, 2024 and sell it today you would lose (132.00) from holding iShares MSCI EAFE or give up 2.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
UBS AG FI vs. iShares MSCI EAFE
Performance |
| Timeline |
| UBS AG FI |
| iShares MSCI EAFE |
UBS AG and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with UBS AG and IShares MSCI
The main advantage of trading using opposite UBS AG and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if UBS AG 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 UBS AG FI and iShares MSCI EAFE 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.| IShares MSCI vs. Dimensional ETF Trust | IShares MSCI vs. Vanguard Small Cap Index | IShares MSCI vs. First Trust Multi Manager | IShares MSCI vs. Vanguard SP Small Cap |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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