Correlation Between SPDR EURO and ProShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR EURO and ProShares 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 ProShares 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 ProShares MSCI Europe, you can compare the effects of market volatilities on SPDR EURO and ProShares 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 ProShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR EURO and ProShares MSCI.
Diversification Opportunities for SPDR EURO and ProShares MSCI
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and ProShares is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding SPDR EURO STOXX and ProShares MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares 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 ProShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares MSCI Europe has no effect on the direction of SPDR EURO i.e., SPDR EURO and ProShares MSCI go up and down completely randomly.
Pair Corralation between SPDR EURO and ProShares MSCI
Considering the 90-day investment horizon SPDR EURO STOXX is expected to under-perform the ProShares MSCI. In addition to that, SPDR EURO is 1.4 times more volatile than ProShares MSCI Europe. It trades about -0.12 of its total potential returns per unit of risk. ProShares MSCI Europe is currently generating about -0.12 per unit of volatility. If you would invest 5,125 in ProShares MSCI Europe on August 28, 2024 and sell it today you would lose (290.00) from holding ProShares MSCI Europe or give up 5.66% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR EURO STOXX vs. ProShares MSCI Europe
Performance |
| Timeline |
| SPDR EURO STOXX |
| ProShares MSCI Europe |
SPDR EURO and ProShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR EURO and ProShares MSCI
The main advantage of trading using opposite SPDR EURO and ProShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR EURO position performs unexpectedly, ProShares 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 ProShares MSCI will offset losses from the drop in ProShares 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 |
| ProShares MSCI vs. ProShares MSCI EAFE | ProShares MSCI vs. ProShares MSCI Emerging | ProShares MSCI vs. ProShares SP MidCap | ProShares MSCI vs. ProShares Russell 2000 |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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