Correlation Between IShares MBS and SPDR Nuveen
Can any of the company-specific risk be diversified away by investing in both IShares MBS 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 MBS 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 MBS ETF and SPDR Nuveen Municipal, you can compare the effects of market volatilities on IShares MBS 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 MBS with a short position of SPDR Nuveen. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MBS and SPDR Nuveen.
Diversification Opportunities for IShares MBS and SPDR Nuveen
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and SPDR is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding iShares MBS ETF 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 MBS 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 MBS ETF 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 MBS i.e., IShares MBS and SPDR Nuveen go up and down completely randomly.
Pair Corralation between IShares MBS and SPDR Nuveen
Considering the 90-day investment horizon IShares MBS is expected to generate 1.37 times less return on investment than SPDR Nuveen. In addition to that, IShares MBS is 1.35 times more volatile than SPDR Nuveen Municipal. It trades about 0.11 of its total potential returns per unit of risk. SPDR Nuveen Municipal is currently generating about 0.2 per unit of volatility. If you would invest 2,748 in SPDR Nuveen Municipal on August 31, 2024 and sell it today you would earn a total of 38.00 from holding SPDR Nuveen Municipal or generate 1.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MBS ETF vs. SPDR Nuveen Municipal
Performance |
| Timeline |
| iShares MBS ETF |
| SPDR Nuveen Municipal |
IShares MBS and SPDR Nuveen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MBS and SPDR Nuveen
The main advantage of trading using opposite IShares MBS and SPDR Nuveen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MBS 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 MBS vs. iShares 3 7 Year | IShares MBS vs. iShares JP Morgan | IShares MBS vs. iShares Intermediate GovernmentCredit | IShares MBS vs. iShares National Muni |
| SPDR Nuveen vs. iShares JP Morgan | SPDR Nuveen vs. iShares iBoxx Investment | SPDR Nuveen vs. SPDR Nuveen Bloomberg | SPDR Nuveen vs. iShares MBS ETF |
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.
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