Correlation Between IShares SP and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares SP 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 SP 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 SP 500 and SPDR Portfolio SP, you can compare the effects of market volatilities on IShares SP 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 SP with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and SPDR Portfolio.
Diversification Opportunities for IShares SP 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 SP 500 and SPDR Portfolio SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio SP 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 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 SP has no effect on the direction of IShares SP i.e., IShares SP and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares SP and SPDR Portfolio
Considering the 90-day investment horizon IShares SP is expected to generate 1.01 times less return on investment than SPDR Portfolio. But when comparing it to its historical volatility, iShares SP 500 is 1.01 times less risky than SPDR Portfolio. It trades about 0.13 of its potential returns per unit of risk. SPDR Portfolio SP is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 4,828 in SPDR Portfolio SP on August 23, 2024 and sell it today you would earn a total of 537.00 from holding SPDR Portfolio SP 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 Portfolio SP
Performance |
| Timeline |
| iShares SP 500 |
| SPDR Portfolio SP |
IShares SP and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and SPDR Portfolio
The main advantage of trading using opposite IShares SP and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP 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 SP vs. iShares SP 500 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares SP Small Cap | IShares SP vs. iShares SP Mid Cap |
| SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR SP 600 |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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