Correlation Between SPDR MSCI and Xtrackers MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Xtrackers 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 Xtrackers MSCI 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 Xtrackers MSCI EAFE, you can compare the effects of market volatilities on SPDR MSCI and Xtrackers 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 Xtrackers MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Xtrackers MSCI.
Diversification Opportunities for SPDR MSCI and Xtrackers MSCI
0.33 | Correlation Coefficient |
Weak diversification
The 3 months correlation between SPDR and Xtrackers is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Emerging and Xtrackers MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers MSCI EAFE 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 Xtrackers MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers MSCI EAFE has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Xtrackers MSCI go up and down completely randomly.
Pair Corralation between SPDR MSCI and Xtrackers MSCI
Given the investment horizon of 90 days SPDR MSCI is expected to generate 1.17 times less return on investment than Xtrackers MSCI. In addition to that, SPDR MSCI is 1.16 times more volatile than Xtrackers MSCI EAFE. It trades about 0.04 of its total potential returns per unit of risk. Xtrackers MSCI EAFE is currently generating about 0.05 per unit of volatility. If you would invest 2,496 in Xtrackers MSCI EAFE on September 2, 2024 and sell it today you would earn a total of 577.00 from holding Xtrackers MSCI EAFE or generate 23.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Emerging vs. Xtrackers MSCI EAFE
Performance |
| Timeline |
| SPDR MSCI Emerging |
| Xtrackers MSCI EAFE |
SPDR MSCI and Xtrackers MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Xtrackers MSCI
The main advantage of trading using opposite SPDR MSCI and Xtrackers MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Xtrackers 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 Xtrackers MSCI will offset losses from the drop in Xtrackers MSCI's 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 |
| Xtrackers MSCI vs. iShares ESG Aggregate | Xtrackers MSCI vs. SPDR MSCI Emerging | Xtrackers MSCI vs. Aquagold International | Xtrackers MSCI 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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