Correlation Between IShares SP and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both IShares SP 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 IShares SP and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SP 500 and SPDR MSCI World, you can compare the effects of market volatilities on IShares SP 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 IShares SP with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and SPDR MSCI.
Diversification Opportunities for IShares SP and SPDR MSCI
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and SPDR is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP 500 and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World and IShares 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 iShares SP 500 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 World has no effect on the direction of IShares SP i.e., IShares SP and SPDR MSCI go up and down completely randomly.
Pair Corralation between IShares SP and SPDR MSCI
Assuming the 90 days trading horizon iShares SP 500 is expected to generate 0.76 times more return on investment than SPDR MSCI. However, iShares SP 500 is 1.31 times less risky than SPDR MSCI. It trades about 0.28 of its potential returns per unit of risk. SPDR MSCI World is currently generating about 0.21 per unit of risk. If you would invest 5,128 in iShares SP 500 on August 28, 2024 and sell it today you would earn a total of 570.00 from holding iShares SP 500 or generate 11.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares SP 500 vs. SPDR MSCI World
Performance |
| Timeline |
| iShares SP 500 |
| SPDR MSCI World |
IShares SP and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and SPDR MSCI
The main advantage of trading using opposite IShares SP and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP 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.| IShares SP vs. iShares III Public | IShares SP vs. iShares Core MSCI | IShares SP vs. iShares France Govt | IShares SP vs. iShares Edge MSCI |
| SPDR MSCI vs. SPDR Dow Jones | SPDR MSCI vs. iShares SP 500 | SPDR MSCI vs. iShares China CNY | SPDR MSCI vs. iShares Core MSCI |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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