Correlation Between IShares Agency and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares Agency and SPDR Portfolio 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 Agency and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Agency Bond and SPDR Portfolio Aggregate, you can compare the effects of market volatilities on IShares Agency and SPDR Portfolio 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 Agency with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Agency and SPDR Portfolio.
Diversification Opportunities for IShares Agency and SPDR Portfolio
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and SPDR is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding iShares Agency Bond and SPDR Portfolio Aggregate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Aggregate and IShares Agency 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 Agency Bond are associated (or correlated) with SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio Aggregate has no effect on the direction of IShares Agency i.e., IShares Agency and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares Agency and SPDR Portfolio
Considering the 90-day investment horizon iShares Agency Bond is expected to generate 0.58 times more return on investment than SPDR Portfolio. However, iShares Agency Bond is 1.74 times less risky than SPDR Portfolio. It trades about 0.09 of its potential returns per unit of risk. SPDR Portfolio Aggregate is currently generating about 0.05 per unit of risk. If you would invest 9,913 in iShares Agency Bond on November 27, 2024 and sell it today you would earn a total of 959.00 from holding iShares Agency Bond or generate 9.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
iShares Agency Bond vs. SPDR Portfolio Aggregate
Performance |
| Timeline |
| iShares Agency Bond |
| SPDR Portfolio Aggregate |
IShares Agency and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Agency and SPDR Portfolio
The main advantage of trading using opposite IShares Agency and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Agency position performs unexpectedly, SPDR Portfolio 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 SPDR Portfolio will offset losses from the drop in SPDR Portfolio's long position.| IShares Agency vs. iShares Intermediate GovernmentCredit | IShares Agency vs. iShares GovernmentCredit Bond | IShares Agency vs. iShares New York | IShares Agency vs. iShares California Muni |
| SPDR Portfolio vs. SPDR SP World | SPDR Portfolio vs. SPDR Barclays Intermediate | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio Emerging |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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