Correlation Between Alpha Architect and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both Alpha Architect and SPDR Portfolio 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 Alpha Architect and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alpha Architect Gdsdn and SPDR Portfolio Mortgage, you can compare the effects of market volatilities on Alpha Architect and SPDR Portfolio 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 Alpha Architect with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alpha Architect and SPDR Portfolio.
Diversification Opportunities for Alpha Architect and SPDR Portfolio
-0.51 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Alpha and SPDR is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Alpha Architect Gdsdn and SPDR Portfolio Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Mortgage and Alpha Architect 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 Alpha Architect Gdsdn are associated (or correlated) with SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio Mortgage has no effect on the direction of Alpha Architect i.e., Alpha Architect and SPDR Portfolio go up and down completely randomly.
Pair Corralation between Alpha Architect and SPDR Portfolio
Given the investment horizon of 90 days Alpha Architect Gdsdn is expected to generate 1.52 times more return on investment than SPDR Portfolio. However, Alpha Architect is 1.52 times more volatile than SPDR Portfolio Mortgage. It trades about 0.07 of its potential returns per unit of risk. SPDR Portfolio Mortgage is currently generating about 0.08 per unit of risk. If you would invest 3,105 in Alpha Architect Gdsdn on September 3, 2024 and sell it today you would earn a total of 204.00 from holding Alpha Architect Gdsdn or generate 6.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alpha Architect Gdsdn vs. SPDR Portfolio Mortgage
Performance |
| Timeline |
| Alpha Architect Gdsdn |
| SPDR Portfolio Mortgage |
Alpha Architect and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alpha Architect and SPDR Portfolio
The main advantage of trading using opposite Alpha Architect and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alpha Architect position performs unexpectedly, SPDR Portfolio 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 Portfolio will offset losses from the drop in SPDR Portfolio's long position.| Alpha Architect vs. Janus Henderson Mortgage Backed | Alpha Architect vs. LeaderSharesTM AlphaFactor Core | Alpha Architect vs. ClearShares Ultra Short Maturity | Alpha Architect vs. Hartford Short Duration |
| SPDR Portfolio vs. SPDR Portfolio Intermediate | SPDR Portfolio vs. iShares 5 10 Year | SPDR Portfolio vs. SPDR Barclays Long | SPDR Portfolio vs. SPDR Barclays Intermediate |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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