Correlation Between SPDR EURO and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR EURO and IShares 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 IShares 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 iShares MSCI Europe, you can compare the effects of market volatilities on SPDR EURO and IShares 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 IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR EURO and IShares MSCI.
Diversification Opportunities for SPDR EURO and IShares MSCI
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding SPDR EURO STOXX and iShares MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares 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 IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI Europe has no effect on the direction of SPDR EURO i.e., SPDR EURO and IShares MSCI go up and down completely randomly.
Pair Corralation between SPDR EURO and IShares MSCI
Considering the 90-day investment horizon SPDR EURO STOXX is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, SPDR EURO STOXX is 1.07 times less risky than IShares MSCI. The etf trades about -0.16 of its potential returns per unit of risk. The iShares MSCI Europe is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 5,655 in iShares MSCI Europe on September 2, 2024 and sell it today you would lose (97.00) from holding iShares MSCI Europe or give up 1.72% 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. iShares MSCI Europe
Performance |
| Timeline |
| SPDR EURO STOXX |
| iShares MSCI Europe |
SPDR EURO and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR EURO and IShares MSCI
The main advantage of trading using opposite SPDR EURO and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR EURO position performs unexpectedly, IShares 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 IShares MSCI will offset losses from the drop in IShares 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 |
| IShares MSCI vs. iShares MSCI Emerging | IShares MSCI vs. Invesco International BuyBack | IShares MSCI vs. First Trust Eurozone | IShares MSCI vs. iShares MSCI Qatar |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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