Correlation Between IShares Europe and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares Europe 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 Europe 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 Europe ETF and SPDR Portfolio Europe, you can compare the effects of market volatilities on IShares Europe 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 Europe with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Europe and SPDR Portfolio.
Diversification Opportunities for IShares Europe and SPDR Portfolio
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and SPDR is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares Europe ETF 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 Europe 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 Europe ETF 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 Europe i.e., IShares Europe and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares Europe and SPDR Portfolio
Considering the 90-day investment horizon IShares Europe is expected to generate 1.0 times less return on investment than SPDR Portfolio. But when comparing it to its historical volatility, iShares Europe ETF is 1.0 times less risky than SPDR Portfolio. It trades about 0.05 of its potential returns per unit of risk. SPDR Portfolio Europe is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 3,625 in SPDR Portfolio Europe on November 27, 2024 and sell it today you would earn a total of 752.00 from holding SPDR Portfolio Europe or generate 20.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Europe ETF vs. SPDR Portfolio Europe
Performance |
| Timeline |
| iShares Europe ETF |
| SPDR Portfolio Europe |
IShares Europe and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Europe and SPDR Portfolio
The main advantage of trading using opposite IShares Europe and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Europe 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 Europe vs. iShares MSCI Eurozone | IShares Europe vs. iShares MSCI Pacific | IShares Europe vs. iShares Latin America | IShares Europe vs. iShares MSCI France |
| 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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