Correlation Between Barclays ETN and Invesco SP
Can any of the company-specific risk be diversified away by investing in both Barclays ETN and Invesco SP 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 Invesco SP 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 Invesco SP 500, you can compare the effects of market volatilities on Barclays ETN and Invesco SP 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 Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Barclays ETN and Invesco SP.
Diversification Opportunities for Barclays ETN and Invesco SP
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Barclays and Invesco is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Barclays ETN Select and Invesco SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP 500 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 Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP 500 has no effect on the direction of Barclays ETN i.e., Barclays ETN and Invesco SP go up and down completely randomly.
Pair Corralation between Barclays ETN and Invesco SP
Given the investment horizon of 90 days Barclays ETN Select is expected to generate 0.88 times more return on investment than Invesco SP. However, Barclays ETN Select is 1.13 times less risky than Invesco SP. It trades about 0.16 of its potential returns per unit of risk. Invesco SP 500 is currently generating about 0.07 per unit of risk. If you would invest 1,932 in Barclays ETN Select on August 26, 2024 and sell it today you would earn a total of 1,066 from holding Barclays ETN Select or generate 55.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Barclays ETN Select vs. Invesco SP 500
Performance |
| Timeline |
| Barclays ETN Select |
| Invesco SP 500 |
Barclays ETN and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Barclays ETN and Invesco SP
The main advantage of trading using opposite Barclays ETN and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Barclays ETN position performs unexpectedly, Invesco SP 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 Invesco SP will offset losses from the drop in Invesco SP's long position.| Barclays ETN vs. Alerian Energy Infrastructure | Barclays ETN vs. UBS AG London | Barclays ETN vs. First Trust North | Barclays ETN vs. Tortoise North American |
| Invesco SP vs. Invesco SP 500 | Invesco SP vs. Invesco SP SmallCap | Invesco SP vs. Invesco SP MidCap | Invesco SP vs. Invesco SP MidCap |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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