Correlation Between SPDR EURO and Xtrackers MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR EURO 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 EURO 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 EURO STOXX and Xtrackers MSCI Europe, you can compare the effects of market volatilities on SPDR EURO 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 EURO with a short position of Xtrackers MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR EURO and Xtrackers MSCI.
Diversification Opportunities for SPDR EURO and Xtrackers MSCI
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and Xtrackers is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding SPDR EURO STOXX and Xtrackers MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers MSCI Europe and SPDR EURO 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 EURO STOXX 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 Europe has no effect on the direction of SPDR EURO i.e., SPDR EURO and Xtrackers MSCI go up and down completely randomly.
Pair Corralation between SPDR EURO and Xtrackers MSCI
Considering the 90-day investment horizon SPDR EURO STOXX is expected to under-perform the Xtrackers MSCI. In addition to that, SPDR EURO is 1.57 times more volatile than Xtrackers MSCI Europe. It trades about -0.32 of its total potential returns per unit of risk. Xtrackers MSCI Europe is currently generating about -0.21 per unit of volatility. If you would invest 4,241 in Xtrackers MSCI Europe on August 29, 2024 and sell it today you would lose (129.00) from holding Xtrackers MSCI Europe or give up 3.04% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR EURO STOXX vs. Xtrackers MSCI Europe
Performance |
| Timeline |
| SPDR EURO STOXX |
| Xtrackers MSCI Europe |
SPDR EURO and Xtrackers MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR EURO and Xtrackers MSCI
The main advantage of trading using opposite SPDR EURO and Xtrackers MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR EURO 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 EURO vs. iShares MSCI Eurozone | SPDR EURO vs. iShares MSCI Germany | SPDR EURO vs. iShares MSCI United | SPDR EURO vs. iShares Europe ETF |
| Xtrackers MSCI vs. Xtrackers MSCI Japan | Xtrackers MSCI vs. iShares Currency Hedged | Xtrackers MSCI vs. Xtrackers MSCI EAFE | Xtrackers MSCI vs. WisdomTree Europe Hedged |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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