Correlation Between IShares IBoxx and VanEck Vectors

Can any of the company-specific risk be diversified away by investing in both IShares IBoxx and VanEck Vectors 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 IBoxx and VanEck Vectors into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between iShares iBoxx Investment and VanEck Vectors Moodys, you can compare the effects of market volatilities on IShares IBoxx and VanEck Vectors 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 IBoxx with a short position of VanEck Vectors. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and VanEck Vectors.

Diversification Opportunities for IShares IBoxx and VanEck Vectors

0.78

Correlation Coefficient

IShares IBoxx  VanEck Vectors

Poor diversification

The 3 months correlation between IShares and VanEck is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and VanEck Vectors Moodys in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck Vectors Moodys and IShares IBoxx 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 iBoxx Investment are associated (or correlated) with VanEck Vectors. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck Vectors Moodys has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and VanEck Vectors go up and down completely randomly.

Pair Corralation between IShares IBoxx and VanEck Vectors

Considering the 90-day investment horizon iShares iBoxx Investment is expected to under-perform the VanEck Vectors. In addition to that, IShares IBoxx is 1.34 times more volatile than VanEck Vectors Moodys. It trades about -0.18 of its total potential returns per unit of risk. VanEck Vectors Moodys is currently generating about -0.22 per unit of volatility. If you would invest  2,111  in VanEck Vectors Moodys on January 25, 2024 and sell it today you would lose (41.00) from holding VanEck Vectors Moodys or give up 1.94% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	95.45%
Values	Daily Returns

iShares iBoxx Investment  vs.  VanEck Vectors Moodys

iShares iBoxx Investment

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days iShares iBoxx Investment has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, IShares IBoxx is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

VanEck Vectors Moodys

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days VanEck Vectors Moodys has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, VanEck Vectors is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with IShares IBoxx and VanEck Vectors

The main advantage of trading using opposite IShares IBoxx and VanEck Vectors positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx position performs unexpectedly, VanEck Vectors 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 VanEck Vectors will offset losses from the drop in VanEck Vectors' long position.

The idea behind iShares iBoxx Investment and VanEck Vectors Moodys pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.