Correlation Between SPDR Bloomberg and IShares II
Can any of the company-specific risk be diversified away by investing in both SPDR Bloomberg and IShares II 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 Bloomberg and IShares II into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Bloomberg Euro and iShares II Public, you can compare the effects of market volatilities on SPDR Bloomberg and IShares II 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 Bloomberg with a short position of IShares II. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Bloomberg and IShares II.
Diversification Opportunities for SPDR Bloomberg and IShares II
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and IShares is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Bloomberg Euro and iShares II Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares II Public and SPDR Bloomberg 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 Bloomberg Euro are associated (or correlated) with IShares II. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares II Public has no effect on the direction of SPDR Bloomberg i.e., SPDR Bloomberg and IShares II go up and down completely randomly.
Pair Corralation between SPDR Bloomberg and IShares II
Assuming the 90 days trading horizon SPDR Bloomberg Euro is expected to generate 0.8 times more return on investment than IShares II. However, SPDR Bloomberg Euro is 1.25 times less risky than IShares II. It trades about 0.02 of its potential returns per unit of risk. iShares II Public is currently generating about 0.02 per unit of risk. If you would invest 2,489 in SPDR Bloomberg Euro on September 3, 2024 and sell it today you would earn a total of 119.00 from holding SPDR Bloomberg Euro or generate 4.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Bloomberg Euro vs. iShares II Public
Performance |
| Timeline |
| SPDR Bloomberg Euro |
| iShares II Public |
SPDR Bloomberg and IShares II Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Bloomberg and IShares II
The main advantage of trading using opposite SPDR Bloomberg and IShares II positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Bloomberg position performs unexpectedly, IShares II 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 II will offset losses from the drop in IShares II's long position.| SPDR Bloomberg vs. Vanguard FTSE Developed | SPDR Bloomberg vs. HSBC MSCI Japan | SPDR Bloomberg vs. iShares II Public | SPDR Bloomberg vs. Hydratec Industries NV |
| IShares II vs. Vanguard FTSE Developed | IShares II vs. HSBC MSCI Japan | IShares II vs. iShares II Public | IShares II vs. Hydratec Industries NV |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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