Correlation Between IShares Agency and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both IShares Agency and SPDR Barclays 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 Barclays 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 Barclays Long, you can compare the effects of market volatilities on IShares Agency and SPDR Barclays 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 Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Agency and SPDR Barclays.
Diversification Opportunities for IShares Agency and SPDR Barclays
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and SPDR is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding iShares Agency Bond and SPDR Barclays Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Long 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 Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Long has no effect on the direction of IShares Agency i.e., IShares Agency and SPDR Barclays go up and down completely randomly.
Pair Corralation between IShares Agency and SPDR Barclays
Considering the 90-day investment horizon IShares Agency is expected to generate 10.5 times less return on investment than SPDR Barclays. But when comparing it to its historical volatility, iShares Agency Bond is 4.29 times less risky than SPDR Barclays. It trades about 0.05 of its potential returns per unit of risk. SPDR Barclays Long is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 2,296 in SPDR Barclays Long on September 4, 2024 and sell it today you would earn a total of 51.00 from holding SPDR Barclays Long or generate 2.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Agency Bond vs. SPDR Barclays Long
Performance |
| Timeline |
| iShares Agency Bond |
| SPDR Barclays Long |
IShares Agency and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Agency and SPDR Barclays
The main advantage of trading using opposite IShares Agency and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Agency position performs unexpectedly, SPDR Barclays 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 Barclays will offset losses from the drop in SPDR Barclays' 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 Barclays vs. iShares Core 1 5 | SPDR Barclays vs. iShares Agency Bond | SPDR Barclays vs. iShares Intermediate GovernmentCredit | SPDR Barclays vs. iShares GNMA Bond |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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