Pair Correlation Between First Trust and iShares MSCI

This module allows you to analyze existing cross correlation between First Trust South Korea AlphaDEX ETF and iShares MSCI Germany. 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 South Korea AlphaD  vs   iShares MSCI Germany
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, First Trust South Korea AlphaDEX ETF is expected to generate 1.42 times more return on investment than iShares MSCI. However, First Trust is 1.42 times more volatile than iShares MSCI Germany. It trades about 0.38 of its potential returns per unit of risk. iShares MSCI Germany is currently generating about 0.26 per unit of risk. If you would invest  2,893  in First Trust South Korea AlphaDEX ETF on December 18, 2017 and sell it today you would earn a total of  197  from holding First Trust South Korea AlphaDEX ETF or generate 6.81% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between First Trust and iShares MSCI
0.93

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding First Trust South Korea AlphaD and iShares MSCI Germany in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Germany 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 South Korea 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 Germany 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 South

  
25 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in First Trust South Korea AlphaDEX ETF are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.

iShares MSCI Germany

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iShares MSCI Germany are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.