Correlation Between IMGP DBi and SPDR SP
Can any of the company-specific risk be diversified away by investing in both IMGP DBi and SPDR 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 IMGP DBi and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iMGP DBi Managed and SPDR SP Global, you can compare the effects of market volatilities on IMGP DBi and SPDR 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 IMGP DBi with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMGP DBi and SPDR SP.
Diversification Opportunities for IMGP DBi and SPDR SP
Poor diversification
The 3 months correlation between IMGP and SPDR is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding iMGP DBi Managed and SPDR SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Global and IMGP DBi 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 iMGP DBi Managed are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP Global has no effect on the direction of IMGP DBi i.e., IMGP DBi and SPDR SP go up and down completely randomly.
Pair Corralation between IMGP DBi and SPDR SP
Given the investment horizon of 90 days IMGP DBi is expected to generate 27.37 times less return on investment than SPDR SP. But when comparing it to its historical volatility, iMGP DBi Managed is 1.09 times less risky than SPDR SP. It trades about 0.0 of its potential returns per unit of risk. SPDR SP Global is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 5,402 in SPDR SP Global on September 2, 2024 and sell it today you would earn a total of 1,215 from holding SPDR SP Global or generate 22.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iMGP DBi Managed vs. SPDR SP Global
Performance |
| Timeline |
| iMGP DBi Managed |
| SPDR SP Global |
IMGP DBi and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IMGP DBi and SPDR SP
The main advantage of trading using opposite IMGP DBi and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMGP DBi position performs unexpectedly, SPDR 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| IMGP DBi vs. KFA Mount Lucas | IMGP DBi vs. Simplify Exchange Traded | IMGP DBi vs. Simplify Interest Rate | IMGP DBi vs. First Trust Managed |
| SPDR SP vs. SPDR SP Emerging | SPDR SP vs. First Trust Dow | SPDR SP vs. iShares AsiaPacific Dividend | SPDR SP vs. iShares Emerging Markets |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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