Correlation Between SPDR SP and CHIE
Can any of the company-specific risk be diversified away by investing in both SPDR SP and CHIE 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 SP and CHIE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP China and CHIE, you can compare the effects of market volatilities on SPDR SP and CHIE 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 SP with a short position of CHIE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and CHIE.
Diversification Opportunities for SPDR SP and CHIE
Good diversification
The 3 months correlation between SPDR and CHIE is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP China and CHIE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CHIE and SPDR SP 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 SP China are associated (or correlated) with CHIE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CHIE has no effect on the direction of SPDR SP i.e., SPDR SP and CHIE go up and down completely randomly.
Pair Corralation between SPDR SP and CHIE
Considering the 90-day investment horizon SPDR SP is expected to generate 1.93 times less return on investment than CHIE. In addition to that, SPDR SP is 2.13 times more volatile than CHIE. It trades about 0.02 of its total potential returns per unit of risk. CHIE is currently generating about 0.1 per unit of volatility. If you would invest 1,475 in CHIE on September 12, 2024 and sell it today you would earn a total of 5.00 from holding CHIE or generate 0.34% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 1.14% |
| Values | Daily Returns |
SPDR SP China vs. CHIE
Performance |
| Timeline |
| SPDR SP China |
| CHIE |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
SPDR SP and CHIE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and CHIE
The main advantage of trading using opposite SPDR SP and CHIE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, CHIE 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 CHIE will offset losses from the drop in CHIE's long position.| SPDR SP vs. KraneShares CSI China | SPDR SP vs. Invesco China Technology | SPDR SP vs. iShares MSCI India | SPDR SP vs. Xtrackers Harvest CSI |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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