Correlation Between SPDR MSCI and ETF Series
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and ETF Series 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 ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI Emerging and ETF Series Solutions, you can compare the effects of market volatilities on SPDR MSCI and ETF Series 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 ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and ETF Series.
Diversification Opportunities for SPDR MSCI and ETF Series
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and ETF is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Emerging and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions 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 Emerging are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and ETF Series go up and down completely randomly.
Pair Corralation between SPDR MSCI and ETF Series
Given the investment horizon of 90 days SPDR MSCI Emerging is expected to under-perform the ETF Series. In addition to that, SPDR MSCI is 1.1 times more volatile than ETF Series Solutions. It trades about -0.11 of its total potential returns per unit of risk. ETF Series Solutions is currently generating about -0.1 per unit of volatility. If you would invest 2,436 in ETF Series Solutions on September 1, 2024 and sell it today you would lose (52.00) from holding ETF Series Solutions or give up 2.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Emerging vs. ETF Series Solutions
Performance |
| Timeline |
| SPDR MSCI Emerging |
| ETF Series Solutions |
SPDR MSCI and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and ETF Series
The main advantage of trading using opposite SPDR MSCI and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR MSCI EAFE | SPDR MSCI vs. SPDR DoubleLine Emerging | SPDR MSCI vs. SPDR MSCI EAFE |
| ETF Series vs. iShares ESG Aggregate | ETF Series vs. SPDR MSCI Emerging | ETF Series vs. Aquagold International | ETF Series vs. Thrivent High Yield |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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