Correlation Between FT Cboe and SPDR SP
Can any of the company-specific risk be diversified away by investing in both FT Cboe 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 FT Cboe and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FT Cboe Vest and SPDR SP 500, you can compare the effects of market volatilities on FT Cboe 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 FT Cboe with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of FT Cboe and SPDR SP.
Diversification Opportunities for FT Cboe and SPDR SP
No risk reduction
The 3 months correlation between DJUL and SPDR is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding FT Cboe Vest and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 and FT Cboe 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 FT Cboe Vest 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 500 has no effect on the direction of FT Cboe i.e., FT Cboe and SPDR SP go up and down completely randomly.
Pair Corralation between FT Cboe and SPDR SP
Given the investment horizon of 90 days FT Cboe is expected to generate 1.51 times less return on investment than SPDR SP. But when comparing it to its historical volatility, FT Cboe Vest is 1.72 times less risky than SPDR SP. It trades about 0.14 of its potential returns per unit of risk. SPDR SP 500 is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 37,448 in SPDR SP 500 on August 26, 2024 and sell it today you would earn a total of 22,103 from holding SPDR SP 500 or generate 59.02% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
FT Cboe Vest vs. SPDR SP 500
Performance |
Timeline |
FT Cboe Vest |
SPDR SP 500 |
FT Cboe and SPDR SP Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with FT Cboe and SPDR SP
The main advantage of trading using opposite FT Cboe and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FT Cboe 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.FT Cboe vs. FT Cboe Vest | FT Cboe vs. FT Cboe Vest | FT Cboe vs. First Trust Exchange Traded | FT Cboe vs. FT Cboe Vest |
SPDR SP vs. FT Vest Equity | SPDR SP vs. Northern Lights | SPDR SP vs. Dimensional International High | SPDR SP vs. First Trust 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Other Complementary Tools
Money Managers Screen money managers from public funds and ETFs managed around the world | |
Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |