Correlation Between IShares MSCI and SPDR EURO
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and SPDR EURO 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 IShares MSCI and SPDR EURO into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI France and SPDR EURO STOXX, you can compare the effects of market volatilities on IShares MSCI and SPDR EURO 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 IShares MSCI with a short position of SPDR EURO. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and SPDR EURO.
Diversification Opportunities for IShares MSCI and SPDR EURO
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and SPDR is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI France and SPDR EURO STOXX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR EURO STOXX and IShares 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 iShares MSCI France are associated (or correlated) with SPDR EURO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR EURO STOXX has no effect on the direction of IShares MSCI i.e., IShares MSCI and SPDR EURO go up and down completely randomly.
Pair Corralation between IShares MSCI and SPDR EURO
Considering the 90-day investment horizon IShares MSCI is expected to generate 1.91 times less return on investment than SPDR EURO. But when comparing it to its historical volatility, iShares MSCI France is 1.03 times less risky than SPDR EURO. It trades about 0.03 of its potential returns per unit of risk. SPDR EURO STOXX is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 3,743 in SPDR EURO STOXX on August 30, 2024 and sell it today you would earn a total of 1,042 from holding SPDR EURO STOXX or generate 27.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI France vs. SPDR EURO STOXX
Performance |
| Timeline |
| iShares MSCI France |
| SPDR EURO STOXX |
IShares MSCI and SPDR EURO Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and SPDR EURO
The main advantage of trading using opposite IShares MSCI and SPDR EURO positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, SPDR EURO 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 EURO will offset losses from the drop in SPDR EURO's long position.| IShares MSCI vs. iShares MSCI Italy | IShares MSCI vs. iShares MSCI Netherlands | IShares MSCI vs. iShares MSCI Spain | IShares MSCI vs. iShares MSCI Belgium |
| SPDR EURO vs. iShares MSCI Eurozone | SPDR EURO vs. iShares MSCI Germany | SPDR EURO vs. iShares MSCI United | SPDR EURO vs. iShares Europe ETF |
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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