Correlation Between SPDR Barclays and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and Vanguard FTSE 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 Barclays and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays 10 and Vanguard FTSE Developed, you can compare the effects of market volatilities on SPDR Barclays and Vanguard FTSE 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 Barclays with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and Vanguard FTSE.
Diversification Opportunities for SPDR Barclays and Vanguard FTSE
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Vanguard is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays 10 and Vanguard FTSE Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Developed and SPDR Barclays 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 Barclays 10 are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Developed has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and Vanguard FTSE go up and down completely randomly.
Pair Corralation between SPDR Barclays and Vanguard FTSE
Assuming the 90 days trading horizon SPDR Barclays 10 is expected to generate 0.74 times more return on investment than Vanguard FTSE. However, SPDR Barclays 10 is 1.34 times less risky than Vanguard FTSE. It trades about 0.06 of its potential returns per unit of risk. Vanguard FTSE Developed is currently generating about -0.03 per unit of risk. If you would invest 2,642 in SPDR Barclays 10 on August 30, 2024 and sell it today you would earn a total of 120.00 from holding SPDR Barclays 10 or generate 4.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Barclays 10 vs. Vanguard FTSE Developed
Performance |
| Timeline |
| SPDR Barclays 10 |
| Vanguard FTSE Developed |
SPDR Barclays and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and Vanguard FTSE
The main advantage of trading using opposite SPDR Barclays and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| SPDR Barclays vs. Vanguard FTSE Developed | SPDR Barclays vs. Leverage Shares 2x | SPDR Barclays vs. Amundi Index Solutions | SPDR Barclays vs. Amundi Index Solutions |
| Vanguard FTSE vs. GraniteShares 3x Short | Vanguard FTSE vs. WisdomTree Natural Gas | Vanguard FTSE vs. Leverage Shares 3x | Vanguard FTSE vs. WisdomTree Natural Gas |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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