Correlation Between IShares Currency and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares Currency 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 IShares Currency and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Currency Hedged and SPDR Portfolio Europe, you can compare the effects of market volatilities on IShares Currency 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 IShares Currency with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Currency and SPDR Portfolio.
Diversification Opportunities for IShares Currency and SPDR Portfolio
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and SPDR is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding iShares Currency Hedged and SPDR Portfolio Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Europe and IShares Currency 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 iShares Currency Hedged 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 Europe has no effect on the direction of IShares Currency i.e., IShares Currency and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares Currency and SPDR Portfolio
Given the investment horizon of 90 days iShares Currency Hedged is expected to generate 0.91 times more return on investment than SPDR Portfolio. However, iShares Currency Hedged is 1.1 times less risky than SPDR Portfolio. It trades about 0.08 of its potential returns per unit of risk. SPDR Portfolio Europe is currently generating about 0.05 per unit of risk. If you would invest 3,013 in iShares Currency Hedged on November 27, 2024 and sell it today you would earn a total of 961.00 from holding iShares Currency Hedged or generate 31.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Currency Hedged vs. SPDR Portfolio Europe
Performance |
| Timeline |
| iShares Currency Hedged |
| SPDR Portfolio Europe |
IShares Currency and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Currency and SPDR Portfolio
The main advantage of trading using opposite IShares Currency and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Currency 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.| IShares Currency vs. iShares Currency Hedged | IShares Currency vs. iShares Currency Hedged | IShares Currency vs. Xtrackers MSCI Europe | IShares Currency vs. iShares Currency Hedged |
| SPDR Portfolio vs. Franklin FTSE Europe | SPDR Portfolio vs. SPDR Portfolio MSCI | SPDR Portfolio vs. iShares Core MSCI | SPDR Portfolio vs. JPMorgan BetaBuilders Europe |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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