Correlation Analysis Between First Trust and iShares MSCI

This module allows you to analyze existing cross correlation between First Trust Japan AlphaDEX ETF and iShares MSCI Japan ETF. You can compare the effects of market volatilities on First Trust 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 First Trust with a short position of iShares MSCI. See also your portfolio center. Please also check ongoing floating volatility patterns of First Trust and iShares MSCI.
 Time Horizon     30 Days    Login   to change
Symbolsvs

First Trust Japan AlphaDEX ETF  vs.  iShares MSCI Japan ETF

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, First Trust Japan AlphaDEX ETF is expected to under-perform the iShares MSCI. In addition to that, First Trust is 1.1 times more volatile than iShares MSCI Japan ETF. It trades about -0.31 of its total potential returns per unit of risk. iShares MSCI Japan ETF is currently generating about -0.19 per unit of volatility. If you would invest  6,033  in iShares MSCI Japan ETF on May 24, 2018 and sell it today you would lose (145.00)  from holding iShares MSCI Japan ETF or give up 2.4% of portfolio value over 30 days.

Pair Corralation between First Trust and iShares MSCI

0.96
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding First Trust Japan AlphaDEX ETF and iShares MSCI Japan ETF in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Japan and First Trust 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 First Trust Japan AlphaDEX ETF 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 Japan has no effect on the direction of First Trust i.e. First Trust and iShares MSCI go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
First Trust Japan  
0 

Risk-Adjusted Performance

Over the last 30 days First Trust Japan AlphaDEX ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
iShares MSCI Japan  
0 

Risk-Adjusted Performance

Over the last 30 days iShares MSCI Japan ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

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