Correlation Between SPDR SSGA and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR SSGA 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 SPDR SSGA and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SSGA Large and SPDR MSCI World, you can compare the effects of market volatilities on SPDR SSGA 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 SPDR SSGA with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SSGA and SPDR MSCI.
Diversification Opportunities for SPDR SSGA and SPDR MSCI
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SSGA Large 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 SPDR SSGA 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 SPDR SSGA Large 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 SPDR SSGA i.e., SPDR SSGA and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR SSGA and SPDR MSCI
Given the investment horizon of 90 days SPDR SSGA Large is expected to generate 1.21 times more return on investment than SPDR MSCI. However, SPDR SSGA is 1.21 times more volatile than SPDR MSCI World. It trades about 0.28 of its potential returns per unit of risk. SPDR MSCI World is currently generating about 0.08 per unit of risk. If you would invest 17,003 in SPDR SSGA Large on August 29, 2024 and sell it today you would earn a total of 694.00 from holding SPDR SSGA Large or generate 4.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SSGA Large vs. SPDR MSCI World
Performance |
| Timeline |
| SPDR SSGA Large |
| SPDR MSCI World |
SPDR SSGA and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SSGA and SPDR MSCI
The main advantage of trading using opposite SPDR SSGA and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SSGA 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.| SPDR SSGA vs. SPDR SSGA Small | SPDR SSGA vs. SPDR MSCI USA | SPDR SSGA vs. Invesco SP MidCap | SPDR SSGA vs. Invesco SP SmallCap |
| SPDR MSCI vs. iShares MSCI Emerging | SPDR MSCI vs. BMO Long Federal | SPDR MSCI vs. iShares MSCI EAFE | SPDR MSCI vs. Vanguard Total Market |
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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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