Correlation Between IShares IBoxx and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx 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 IBoxx 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 iBoxx Investment and SPDR Portfolio Corporate, you can compare the effects of market volatilities on IShares IBoxx 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 IBoxx with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and SPDR Portfolio.
Diversification Opportunities for IShares IBoxx 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 iBoxx Investment and SPDR Portfolio Corporate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Corporate 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 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 Corporate has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and SPDR Portfolio go up and down completely randomly.
Pair Corralation between IShares IBoxx and SPDR Portfolio
Considering the 90-day investment horizon iShares iBoxx Investment is expected to under-perform the SPDR Portfolio. In addition to that, IShares IBoxx is 1.26 times more volatile than SPDR Portfolio Corporate. It trades about -0.04 of its total potential returns per unit of risk. SPDR Portfolio Corporate is currently generating about -0.03 per unit of volatility. If you would invest 2,909 in SPDR Portfolio Corporate on August 26, 2024 and sell it today you would lose (9.00) from holding SPDR Portfolio Corporate or give up 0.31% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares iBoxx Investment vs. SPDR Portfolio Corporate
Performance |
| Timeline |
| iShares iBoxx Investment |
| SPDR Portfolio Corporate |
IShares IBoxx and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and SPDR Portfolio
The main advantage of trading using opposite IShares IBoxx and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx 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 IBoxx vs. Senstar Technologies | IShares IBoxx vs. ImmuCell | IShares IBoxx vs. Anika Therapeutics | IShares IBoxx vs. Aquagold International |
| SPDR Portfolio vs. Senstar Technologies | SPDR Portfolio vs. ImmuCell | SPDR Portfolio vs. Anika Therapeutics | SPDR Portfolio vs. Aquagold International |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
| Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |