Correlation Between ETRACS Monthly and SPDR SSGA
Can any of the company-specific risk be diversified away by investing in both ETRACS Monthly and SPDR SSGA 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 ETRACS Monthly and SPDR SSGA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ETRACS Monthly Pay and SPDR SSGA Sector, you can compare the effects of market volatilities on ETRACS Monthly and SPDR SSGA 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 ETRACS Monthly with a short position of SPDR SSGA. Check out your portfolio center. Please also check ongoing floating volatility patterns of ETRACS Monthly and SPDR SSGA.
Diversification Opportunities for ETRACS Monthly and SPDR SSGA
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ETRACS and SPDR is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding ETRACS Monthly Pay and SPDR SSGA Sector in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SSGA Sector and ETRACS Monthly 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 ETRACS Monthly Pay are associated (or correlated) with SPDR SSGA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SSGA Sector has no effect on the direction of ETRACS Monthly i.e., ETRACS Monthly and SPDR SSGA go up and down completely randomly.
Pair Corralation between ETRACS Monthly and SPDR SSGA
Given the investment horizon of 90 days ETRACS Monthly Pay is expected to generate 1.28 times more return on investment than SPDR SSGA. However, ETRACS Monthly is 1.28 times more volatile than SPDR SSGA Sector. It trades about 0.0 of its potential returns per unit of risk. SPDR SSGA Sector is currently generating about -0.05 per unit of risk. If you would invest 1,987 in ETRACS Monthly Pay on November 28, 2024 and sell it today you would lose (1.00) from holding ETRACS Monthly Pay or give up 0.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ETRACS Monthly Pay vs. SPDR SSGA Sector
Performance |
| Timeline |
| ETRACS Monthly Pay |
| SPDR SSGA Sector |
ETRACS Monthly and SPDR SSGA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ETRACS Monthly and SPDR SSGA
The main advantage of trading using opposite ETRACS Monthly and SPDR SSGA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ETRACS Monthly position performs unexpectedly, SPDR SSGA 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 SSGA will offset losses from the drop in SPDR SSGA's long position.| ETRACS Monthly vs. ETRACS Quarterly Pay | ETRACS Monthly vs. Simplify Volatility Premium | ETRACS Monthly vs. ETRACS Monthly Pay | ETRACS Monthly vs. iShares Trust |
| SPDR SSGA vs. SPDR SSGA Fixed | SPDR SSGA vs. BlackRock Equity Factor | SPDR SSGA vs. SPDR FactSet Innovative | SPDR SSGA vs. SPDR SP Telecom |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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