Correlation Between IShares Russell and Amgen
Can any of the company-specific risk be diversified away by investing in both IShares Russell and Amgen 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 IShares Russell and Amgen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Russell 2000 and Amgen Inc, you can compare the effects of market volatilities on IShares Russell and Amgen 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 IShares Russell with a short position of Amgen. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and Amgen.
Diversification Opportunities for IShares Russell and Amgen
-0.51 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between IShares and Amgen is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 2000 and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and IShares Russell 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 iShares Russell 2000 are associated (or correlated) with Amgen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amgen Inc has no effect on the direction of IShares Russell i.e., IShares Russell and Amgen go up and down completely randomly.
Pair Corralation between IShares Russell and Amgen
Considering the 90-day investment horizon iShares Russell 2000 is expected to under-perform the Amgen. But the etf apears to be less risky and, when comparing its historical volatility, iShares Russell 2000 is 1.02 times less risky than Amgen. The etf trades about -0.13 of its potential returns per unit of risk. The Amgen Inc is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 28,082 in Amgen Inc on January 25, 2024 and sell it today you would lose (728.00) from holding Amgen Inc or give up 2.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
iShares Russell 2000 vs. Amgen Inc
Performance |
| Timeline |
| iShares Russell 2000 |
| Amgen Inc |
IShares Russell and Amgen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Russell and Amgen
The main advantage of trading using opposite IShares Russell and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Russell position performs unexpectedly, Amgen 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 Amgen will offset losses from the drop in Amgen's long position.| IShares Russell vs. First Trust RiverFront | IShares Russell vs. First Trust RiverFront | IShares Russell vs. Arrow DWA Tactical | IShares Russell vs. First Trust Developed |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Stocks Directory Find actively traded stocks across global markets | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine |