Correlation Between Alpha Architect and SPDR FactSet
Can any of the company-specific risk be diversified away by investing in both Alpha Architect and SPDR FactSet 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 Alpha Architect and SPDR FactSet into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alpha Architect International and SPDR FactSet Innovative, you can compare the effects of market volatilities on Alpha Architect and SPDR FactSet 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 Alpha Architect with a short position of SPDR FactSet. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alpha Architect and SPDR FactSet.
Diversification Opportunities for Alpha Architect and SPDR FactSet
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Alpha and SPDR is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Alpha Architect International and SPDR FactSet Innovative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR FactSet Innovative and Alpha Architect 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 Alpha Architect International are associated (or correlated) with SPDR FactSet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR FactSet Innovative has no effect on the direction of Alpha Architect i.e., Alpha Architect and SPDR FactSet go up and down completely randomly.
Pair Corralation between Alpha Architect and SPDR FactSet
Given the investment horizon of 90 days Alpha Architect International is expected to generate 0.65 times more return on investment than SPDR FactSet. However, Alpha Architect International is 1.55 times less risky than SPDR FactSet. It trades about 0.26 of its potential returns per unit of risk. SPDR FactSet Innovative is currently generating about -0.08 per unit of risk. If you would invest 2,744 in Alpha Architect International on November 28, 2024 and sell it today you would earn a total of 142.00 from holding Alpha Architect International or generate 5.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alpha Architect International vs. SPDR FactSet Innovative
Performance |
| Timeline |
| Alpha Architect Inte |
| SPDR FactSet Innovative |
Alpha Architect and SPDR FactSet Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alpha Architect and SPDR FactSet
The main advantage of trading using opposite Alpha Architect and SPDR FactSet positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alpha Architect position performs unexpectedly, SPDR FactSet 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 FactSet will offset losses from the drop in SPDR FactSet's long position.| Alpha Architect vs. Alpha Architect Quantitative | Alpha Architect vs. Alpha Architect International | Alpha Architect vs. Alpha Architect Quantitative | Alpha Architect vs. iShares MSCI Intl |
| SPDR FactSet vs. SPDR SP Software | SPDR FactSet vs. SPDR Morgan Stanley | SPDR FactSet vs. SPDR SP Health |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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