Correlation Between Barclays ETN and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Barclays ETN and SPDR MSCI 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 Barclays ETN and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Barclays ETN Select and SPDR MSCI USA, you can compare the effects of market volatilities on Barclays ETN and SPDR MSCI 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 Barclays ETN with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Barclays ETN and SPDR MSCI.
Diversification Opportunities for Barclays ETN and SPDR MSCI
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Barclays and SPDR is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Barclays ETN Select and SPDR MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI USA and Barclays ETN 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 Barclays ETN Select are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI USA has no effect on the direction of Barclays ETN i.e., Barclays ETN and SPDR MSCI go up and down completely randomly.
Pair Corralation between Barclays ETN and SPDR MSCI
Given the investment horizon of 90 days Barclays ETN Select is expected to generate 1.28 times more return on investment than SPDR MSCI. However, Barclays ETN is 1.28 times more volatile than SPDR MSCI USA. It trades about 0.55 of its potential returns per unit of risk. SPDR MSCI USA is currently generating about 0.16 per unit of risk. If you would invest 2,668 in Barclays ETN Select on August 26, 2024 and sell it today you would earn a total of 330.00 from holding Barclays ETN Select or generate 12.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Barclays ETN Select vs. SPDR MSCI USA
Performance |
| Timeline |
| Barclays ETN Select |
| SPDR MSCI USA |
Barclays ETN and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Barclays ETN and SPDR MSCI
The main advantage of trading using opposite Barclays ETN and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Barclays ETN position performs unexpectedly, SPDR MSCI 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 MSCI will offset losses from the drop in SPDR MSCI's long position.The idea behind Barclays ETN Select and SPDR MSCI USA 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.| SPDR MSCI vs. SPDR SSGA Large | SPDR MSCI vs. SPDR MSCI EAFE | SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR Russell 1000 |
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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
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