Correlation Between SPDR Index and Biogen
Can any of the company-specific risk be diversified away by investing in both SPDR Index and Biogen 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 Index and Biogen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Index Shares and Biogen Inc, you can compare the effects of market volatilities on SPDR Index and Biogen 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 Index with a short position of Biogen. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Index and Biogen.
Diversification Opportunities for SPDR Index and Biogen
0.4 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between SPDR and Biogen is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Index Shares and Biogen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Biogen Inc and SPDR Index 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 Index Shares are associated (or correlated) with Biogen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Biogen Inc has no effect on the direction of SPDR Index i.e., SPDR Index and Biogen go up and down completely randomly.
Pair Corralation between SPDR Index and Biogen
Assuming the 90 days trading horizon SPDR Index Shares is expected to generate 0.36 times more return on investment than Biogen. However, SPDR Index Shares is 2.76 times less risky than Biogen. It trades about -0.21 of its potential returns per unit of risk. Biogen Inc is currently generating about -0.32 per unit of risk. If you would invest 101,269 in SPDR Index Shares on August 29, 2024 and sell it today you would lose (3,081) from holding SPDR Index Shares or give up 3.04% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Index Shares vs. Biogen Inc
Performance |
| Timeline |
| SPDR Index Shares |
| Biogen Inc |
SPDR Index and Biogen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Index and Biogen
The main advantage of trading using opposite SPDR Index and Biogen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Index position performs unexpectedly, Biogen 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 Biogen will offset losses from the drop in Biogen's long position.| SPDR Index vs. SPDR SP 500 | SPDR Index vs. Vanguard Bond Index | SPDR Index vs. Invesco QQQ Trust | SPDR Index vs. Vanguard Tax Managed Funds |
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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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