Correlation Between SPDR MSCI and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and IShares 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 SPDR MSCI and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI ACWI and iShares MSCI All, you can compare the effects of market volatilities on SPDR MSCI and IShares 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 SPDR MSCI with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and IShares MSCI.
Diversification Opportunities for SPDR MSCI and IShares MSCI
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and IShares is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI ACWI and iShares MSCI All in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI All and SPDR MSCI 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 SPDR MSCI ACWI are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI All has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and IShares MSCI go up and down completely randomly.
Pair Corralation between SPDR MSCI and IShares MSCI
Considering the 90-day investment horizon SPDR MSCI ACWI is expected to generate 0.72 times more return on investment than IShares MSCI. However, SPDR MSCI ACWI is 1.39 times less risky than IShares MSCI. It trades about -0.18 of its potential returns per unit of risk. iShares MSCI All is currently generating about -0.16 per unit of risk. If you would invest 2,968 in SPDR MSCI ACWI on August 28, 2024 and sell it today you would lose (94.00) from holding SPDR MSCI ACWI or give up 3.17% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR MSCI ACWI vs. iShares MSCI All
Performance |
| Timeline |
| SPDR MSCI ACWI |
| iShares MSCI All |
SPDR MSCI and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and IShares MSCI
The main advantage of trading using opposite SPDR MSCI and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, IShares 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 IShares MSCI will offset losses from the drop in IShares MSCI's long position.| SPDR MSCI vs. Dimensional Core Equity | SPDR MSCI vs. Dimensional Emerging Core | SPDR MSCI vs. Dimensional Targeted Value | SPDR MSCI vs. Dimensional Small Cap |
| IShares MSCI vs. Matthews China Active | IShares MSCI vs. MAYBANK EMERGING ETF | IShares MSCI vs. Matthews Emerging Markets | IShares MSCI vs. JP Morgan Exchange Traded |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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