Correlation Between SPDR Barclays and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and SPDR 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 Barclays and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays Capital and SPDR MSCI ACWI, you can compare the effects of market volatilities on SPDR Barclays and SPDR 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 Barclays with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and SPDR MSCI.
Diversification Opportunities for SPDR Barclays and SPDR MSCI
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and SPDR is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Capital and SPDR MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI ACWI and SPDR Barclays 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 Barclays Capital are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI ACWI has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR Barclays and SPDR MSCI
Assuming the 90 days trading horizon SPDR Barclays Capital is expected to under-perform the SPDR MSCI. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Barclays Capital is 10.32 times less risky than SPDR MSCI. The etf trades about -0.11 of its potential returns per unit of risk. The SPDR MSCI ACWI is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 22,984 in SPDR MSCI ACWI on October 20, 2024 and sell it today you would earn a total of 572.00 from holding SPDR MSCI ACWI or generate 2.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Barclays Capital vs. SPDR MSCI ACWI
Performance |
| Timeline |
| SPDR Barclays Capital |
| SPDR MSCI ACWI |
SPDR Barclays and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and SPDR MSCI
The main advantage of trading using opposite SPDR Barclays and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| SPDR Barclays vs. Lyxor UCITS Japan | SPDR Barclays vs. Lyxor UCITS Japan | SPDR Barclays vs. Lyxor UCITS Stoxx | SPDR Barclays vs. Amundi CAC 40 |
| SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Stoxx | SPDR MSCI vs. Amundi CAC 40 |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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