Correlation Between IShares IBoxx and SPDR Nuveen
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx and SPDR Nuveen 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 IBoxx and SPDR Nuveen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares iBoxx Investment and SPDR Nuveen Municipal, you can compare the effects of market volatilities on IShares IBoxx and SPDR Nuveen 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 IBoxx with a short position of SPDR Nuveen. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and SPDR Nuveen.
Diversification Opportunities for IShares IBoxx and SPDR Nuveen
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and SPDR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and SPDR Nuveen Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Nuveen Municipal and IShares IBoxx 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 iBoxx Investment are associated (or correlated) with SPDR Nuveen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Nuveen Municipal has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and SPDR Nuveen go up and down completely randomly.
Pair Corralation between IShares IBoxx and SPDR Nuveen
Considering the 90-day investment horizon IShares IBoxx is expected to generate 4.97 times less return on investment than SPDR Nuveen. In addition to that, IShares IBoxx is 1.91 times more volatile than SPDR Nuveen Municipal. It trades about 0.01 of its total potential returns per unit of risk. SPDR Nuveen Municipal is currently generating about 0.08 per unit of volatility. If you would invest 2,758 in SPDR Nuveen Municipal on September 2, 2024 and sell it today you would earn a total of 34.00 from holding SPDR Nuveen Municipal or generate 1.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares iBoxx Investment vs. SPDR Nuveen Municipal
Performance |
| Timeline |
| iShares iBoxx Investment |
| SPDR Nuveen Municipal |
IShares IBoxx and SPDR Nuveen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and SPDR Nuveen
The main advantage of trading using opposite IShares IBoxx and SPDR Nuveen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx position performs unexpectedly, SPDR Nuveen 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 Nuveen will offset losses from the drop in SPDR Nuveen's long position.| IShares IBoxx vs. iShares iBoxx High | IShares IBoxx vs. iShares 1 3 Year | IShares IBoxx vs. iShares TIPS Bond | IShares IBoxx vs. iShares 7 10 Year |
| SPDR Nuveen vs. Mountain Commerce Bancorp | SPDR Nuveen vs. Magyar Bancorp | SPDR Nuveen vs. Nortech Systems Incorporated |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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