Correlation Analysis Between iShares MSCI and Vanguard FTSE

This module allows you to analyze existing cross correlation between iShares MSCI EAFE Small Cap ETF and Vanguard FTSE All Wld ex US SmCp ETF. You can compare the effects of market volatilities on iShares MSCI and Vanguard FTSE 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 MSCI with a short position of Vanguard FTSE. See also your portfolio center. Please also check ongoing floating volatility patterns of iShares MSCI and Vanguard FTSE.
Horizon     30 Days    Login   to change
Symbolsvs

iShares MSCI EAFE Small Cap ET  vs.  Vanguard FTSE All Wld ex US Sm

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, iShares MSCI EAFE Small Cap ETF is expected to under-perform the Vanguard FTSE. But the etf apears to be less risky and, when comparing its historical volatility, iShares MSCI EAFE Small Cap ETF is 1.0 times less risky than Vanguard FTSE. The etf trades about -0.14 of its potential returns per unit of risk. The Vanguard FTSE All Wld ex US SmCp ETF is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  10,337  in Vanguard FTSE All Wld ex US SmCp ETF on November 10, 2018 and sell it today you would lose (474.00)  from holding Vanguard FTSE All Wld ex US SmCp ETF or give up 4.59% of portfolio value over 30 days.

Pair Corralation between iShares MSCI and Vanguard FTSE

0.98
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy97.67%
ValuesDaily Returns

Diversification

iShares MSCI EAFE Small Cap ET diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE Small Cap ET and Vanguard FTSE All Wld ex US Sm in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE All and iShares MSCI 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 MSCI EAFE Small Cap ETF are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE All has no effect on the direction of iShares MSCI i.e. iShares MSCI and Vanguard FTSE go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
iShares MSCI EAFE  
0

Risk-Adjusted Performance

Over the last 30 days iShares MSCI EAFE Small Cap ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Vanguard FTSE All  
0

Risk-Adjusted Performance

Over the last 30 days Vanguard FTSE All Wld ex US SmCp ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

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