Correlation Between Vanguard FTSE and IShares STOXX
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and IShares STOXX 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 Vanguard FTSE and IShares STOXX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE North and iShares STOXX Europe, you can compare the effects of market volatilities on Vanguard FTSE and IShares STOXX 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 Vanguard FTSE with a short position of IShares STOXX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and IShares STOXX.
Diversification Opportunities for Vanguard FTSE and IShares STOXX
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and IShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE North and iShares STOXX Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares STOXX Europe and Vanguard FTSE 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 Vanguard FTSE North are associated (or correlated) with IShares STOXX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares STOXX Europe has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and IShares STOXX go up and down completely randomly.
Pair Corralation between Vanguard FTSE and IShares STOXX
Assuming the 90 days trading horizon Vanguard FTSE North is expected to generate 0.77 times more return on investment than IShares STOXX. However, Vanguard FTSE North is 1.3 times less risky than IShares STOXX. It trades about 0.25 of its potential returns per unit of risk. iShares STOXX Europe is currently generating about 0.15 per unit of risk. If you would invest 11,564 in Vanguard FTSE North on April 23, 2025 and sell it today you would earn a total of 1,641 from holding Vanguard FTSE North or generate 14.19% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Vanguard FTSE North vs. iShares STOXX Europe
Performance |
Timeline |
Vanguard FTSE North |
iShares STOXX Europe |
Vanguard FTSE and IShares STOXX Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Vanguard FTSE and IShares STOXX
The main advantage of trading using opposite Vanguard FTSE and IShares STOXX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, IShares STOXX 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 IShares STOXX will offset losses from the drop in IShares STOXX's long position.Vanguard FTSE vs. Vanguard FTSE All World | Vanguard FTSE vs. Vanguard FTSE Developed | Vanguard FTSE vs. Vanguard FTSE All World | Vanguard FTSE vs. Vanguard FTSE Developed |
IShares STOXX vs. iShares MSCI EM | IShares STOXX vs. iShares III Public | IShares STOXX vs. iShares Core MSCI | IShares STOXX vs. iShares France Govt |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Other Complementary Tools
Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
Commodity Directory Find actively traded commodities issued by global exchanges | |
Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments |