Correlation Between IShares Russell and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares Russell 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 Russell 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 Russell 1000 and SPDR Portfolio SP, you can compare the effects of market volatilities on IShares Russell 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 Russell with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and SPDR Portfolio.
Diversification Opportunities for IShares Russell and SPDR Portfolio
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and SPDR is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 1000 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 Russell 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 Russell 1000 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 Russell i.e., IShares Russell and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares Russell and SPDR Portfolio
Considering the 90-day investment horizon iShares Russell 1000 is expected to generate 1.04 times more return on investment than SPDR Portfolio. However, IShares Russell is 1.04 times more volatile than SPDR Portfolio SP. It trades about 0.11 of its potential returns per unit of risk. SPDR Portfolio SP is currently generating about 0.11 per unit of risk. If you would invest 24,047 in iShares Russell 1000 on November 27, 2024 and sell it today you would earn a total of 16,027 from holding iShares Russell 1000 or generate 66.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Russell 1000 vs. SPDR Portfolio SP
Performance |
| Timeline |
| iShares Russell 1000 |
| SPDR Portfolio SP |
IShares Russell and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Russell and SPDR Portfolio
The main advantage of trading using opposite IShares Russell and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Russell 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 Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell 2000 | IShares Russell vs. iShares Russell 2000 | IShares Russell vs. iShares Russell 1000 |
| SPDR Portfolio vs. FT Vest Equity | SPDR Portfolio vs. Northern Lights | SPDR Portfolio vs. Dimensional International High | SPDR Portfolio vs. First Trust Exchange Traded |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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