Correlation Between SPDR Barclays and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays 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 Barclays 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 Barclays 10 and SPDR MSCI Europe, you can compare the effects of market volatilities on SPDR Barclays 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 Barclays with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and SPDR MSCI.
Diversification Opportunities for SPDR Barclays and SPDR MSCI
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays 10 and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe 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 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 Europe has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR Barclays and SPDR MSCI
Assuming the 90 days trading horizon SPDR Barclays is expected to generate 2.11 times less return on investment than SPDR MSCI. In addition to that, SPDR Barclays is 1.29 times more volatile than SPDR MSCI Europe. It trades about 0.02 of its total potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.05 per unit of volatility. If you would invest 949.00 in SPDR MSCI Europe on August 31, 2024 and sell it today you would earn a total of 78.00 from holding SPDR MSCI Europe or generate 8.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.6% |
| Values | Daily Returns |
SPDR Barclays 10 vs. SPDR MSCI Europe
Performance |
| Timeline |
| SPDR Barclays 10 |
| SPDR MSCI Europe |
SPDR Barclays and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and SPDR MSCI
The main advantage of trading using opposite SPDR Barclays and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays 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 Barclays vs. SPDR Dow Jones | SPDR Barclays vs. SPDR SP Dividend | SPDR Barclays vs. SPDR Barclays Euro | SPDR Barclays vs. SPDR SP Consumer |
| SPDR MSCI vs. Vanguard FTSE Developed | SPDR MSCI vs. Leverage Shares 2x | SPDR MSCI vs. Amundi Index Solutions | SPDR MSCI vs. Amundi Index Solutions |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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