Correlation Between SPDR Bloomberg and SPDR FTSE
Can any of the company-specific risk be diversified away by investing in both SPDR Bloomberg and SPDR FTSE 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 Bloomberg and SPDR FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Bloomberg Barclays and SPDR FTSE International, you can compare the effects of market volatilities on SPDR Bloomberg and SPDR FTSE 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 Bloomberg with a short position of SPDR FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Bloomberg and SPDR FTSE.
Diversification Opportunities for SPDR Bloomberg and SPDR FTSE
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and SPDR is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Bloomberg Barclays and SPDR FTSE International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR FTSE International and SPDR Bloomberg 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 Bloomberg Barclays are associated (or correlated) with SPDR FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR FTSE International has no effect on the direction of SPDR Bloomberg i.e., SPDR Bloomberg and SPDR FTSE go up and down completely randomly.
Pair Corralation between SPDR Bloomberg and SPDR FTSE
Given the investment horizon of 90 days SPDR Bloomberg Barclays is expected to generate 0.75 times more return on investment than SPDR FTSE. However, SPDR Bloomberg Barclays is 1.33 times less risky than SPDR FTSE. It trades about 0.1 of its potential returns per unit of risk. SPDR FTSE International is currently generating about -0.05 per unit of risk. If you would invest 2,427 in SPDR Bloomberg Barclays on August 30, 2024 and sell it today you would earn a total of 23.00 from holding SPDR Bloomberg Barclays or generate 0.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Bloomberg Barclays vs. SPDR FTSE International
Performance |
| Timeline |
| SPDR Bloomberg Barclays |
| SPDR FTSE International |
SPDR Bloomberg and SPDR FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Bloomberg and SPDR FTSE
The main advantage of trading using opposite SPDR Bloomberg and SPDR FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Bloomberg position performs unexpectedly, SPDR FTSE 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 FTSE will offset losses from the drop in SPDR FTSE's long position.| SPDR Bloomberg vs. SPDR DoubleLine Emerging | SPDR Bloomberg vs. SPDR SSGA Fixed | SPDR Bloomberg vs. SPDR Series Trust | SPDR Bloomberg vs. SSGA Active Trust |
| SPDR FTSE vs. SPDR Bloomberg Emerging | SPDR FTSE vs. Vanguard Emerging Markets | SPDR FTSE vs. SPDR Bloomberg Barclays | SPDR FTSE vs. VanEck JP Morgan |
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 Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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