Correlation Analysis 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 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 South Korea AlphaD  vs.  iShares MSCI Germany ETF

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, First Trust South Korea AlphaDEX ETF is expected to under-perform the iShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, First Trust South Korea AlphaDEX ETF is 1.24 times less risky than iShares MSCI. The etf trades about -0.24 of its potential returns per unit of risk. The iShares MSCI Germany ETF is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  3,314  in iShares MSCI Germany ETF on May 19, 2018 and sell it today you would lose (71.00)  from holding iShares MSCI Germany ETF or give up 2.14% of portfolio value over 30 days.

Pair Corralation between First Trust and iShares MSCI

0.59
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding First Trust South Korea AlphaD and iShares MSCI Germany ETF 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  
0 

Risk-Adjusted Performance

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

Risk-Adjusted Performance

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

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