Correlation Between SPDR Gold and Invesco DB
Can any of the company-specific risk be diversified away by investing in both SPDR Gold and Invesco DB 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 Gold and Invesco DB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Gold MiniShares and Invesco DB Base, you can compare the effects of market volatilities on SPDR Gold and Invesco DB 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 Gold with a short position of Invesco DB. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Gold and Invesco DB.
Diversification Opportunities for SPDR Gold and Invesco DB
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Invesco is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Gold MiniShares and Invesco DB Base in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco DB Base and SPDR Gold 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 Gold MiniShares are associated (or correlated) with Invesco DB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco DB Base has no effect on the direction of SPDR Gold i.e., SPDR Gold and Invesco DB go up and down completely randomly.
Pair Corralation between SPDR Gold and Invesco DB
Given the investment horizon of 90 days SPDR Gold MiniShares is expected to generate 0.78 times more return on investment than Invesco DB. However, SPDR Gold MiniShares is 1.28 times less risky than Invesco DB. It trades about 0.09 of its potential returns per unit of risk. Invesco DB Base is currently generating about 0.02 per unit of risk. If you would invest 3,549 in SPDR Gold MiniShares on August 28, 2024 and sell it today you would earn a total of 1,655 from holding SPDR Gold MiniShares or generate 46.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Gold MiniShares vs. Invesco DB Base
Performance |
| Timeline |
| SPDR Gold MiniShares |
| Invesco DB Base |
SPDR Gold and Invesco DB Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Gold and Invesco DB
The main advantage of trading using opposite SPDR Gold and Invesco DB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Gold position performs unexpectedly, Invesco DB 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 Invesco DB will offset losses from the drop in Invesco DB's long position.| SPDR Gold vs. MicroSectors Gold 3X | SPDR Gold vs. Franklin Responsibly Sourced | SPDR Gold vs. ProShares Ultra Silver | SPDR Gold vs. GraniteShares Gold Trust |
| Invesco DB vs. Aquagold International | Invesco DB vs. Morningstar Unconstrained Allocation | Invesco DB vs. High Yield Municipal Fund | Invesco DB vs. Thrivent High Yield |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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