Correlation Between NYSE Composite and SPDR FTSE
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and SPDR 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 NYSE Composite and SPDR FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and SPDR FTSE International, you can compare the effects of market volatilities on NYSE Composite and SPDR 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 NYSE Composite with a short position of SPDR FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and SPDR FTSE.
Diversification Opportunities for NYSE Composite and SPDR FTSE
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between NYSE and SPDR is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and SPDR FTSE International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR FTSE International and NYSE Composite 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 NYSE Composite are associated (or correlated) with SPDR FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR FTSE International has no effect on the direction of NYSE Composite i.e., NYSE Composite and SPDR FTSE go up and down completely randomly.
Pair Corralation between NYSE Composite and SPDR FTSE
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.26 times more return on investment than SPDR FTSE. However, NYSE Composite is 1.26 times more volatile than SPDR FTSE International. It trades about 0.19 of its potential returns per unit of risk. SPDR FTSE International is currently generating about -0.21 per unit of risk. If you would invest 1,956,073 in NYSE Composite on August 25, 2024 and sell it today you would earn a total of 56,272 from holding NYSE Composite or generate 2.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. SPDR FTSE International
Performance |
| Timeline |
NYSE Composite and SPDR FTSE Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
SPDR FTSE International
Pair trading matchups for SPDR FTSE
Pair Trading with NYSE Composite and SPDR FTSE
The main advantage of trading using opposite NYSE Composite and SPDR FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, SPDR 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 SPDR FTSE will offset losses from the drop in SPDR FTSE's long position.| NYSE Composite vs. Awilco Drilling PLC | NYSE Composite vs. AKITA Drilling | NYSE Composite vs. SunOpta | NYSE Composite vs. Delek Drilling |
| SPDR FTSE vs. iShares International Treasury | SPDR FTSE vs. SPDR Bloomberg International | SPDR FTSE vs. SPDR Bloomberg Short | SPDR FTSE vs. Invesco International Corporate |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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