Correlation Between SPDR Russell and Invesco SP
Can any of the company-specific risk be diversified away by investing in both SPDR Russell and Invesco SP 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 Russell and Invesco SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Russell 1000 and Invesco SP 500, you can compare the effects of market volatilities on SPDR Russell and Invesco SP 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 Russell with a short position of Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Russell and Invesco SP.
Diversification Opportunities for SPDR Russell and Invesco SP
0.49 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between SPDR and Invesco is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Russell 1000 and Invesco SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP 500 and SPDR Russell 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 Russell 1000 are associated (or correlated) with Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP 500 has no effect on the direction of SPDR Russell i.e., SPDR Russell and Invesco SP go up and down completely randomly.
Pair Corralation between SPDR Russell and Invesco SP
Given the investment horizon of 90 days SPDR Russell 1000 is expected to generate 0.85 times more return on investment than Invesco SP. However, SPDR Russell 1000 is 1.17 times less risky than Invesco SP. It trades about 0.1 of its potential returns per unit of risk. Invesco SP 500 is currently generating about 0.05 per unit of risk. If you would invest 9,211 in SPDR Russell 1000 on August 29, 2024 and sell it today you would earn a total of 2,506 from holding SPDR Russell 1000 or generate 27.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Russell 1000 vs. Invesco SP 500
Performance |
| Timeline |
| SPDR Russell 1000 |
| Invesco SP 500 |
SPDR Russell and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Russell and Invesco SP
The main advantage of trading using opposite SPDR Russell and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Russell position performs unexpectedly, Invesco SP 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 Invesco SP will offset losses from the drop in Invesco SP's long position.| SPDR Russell vs. Vanguard Mid Cap Value | SPDR Russell vs. SPDR SP Dividend | SPDR Russell vs. Pacer Cash Cows | SPDR Russell vs. WisdomTree MidCap Dividend |
| Invesco SP vs. FlexShares Morningstar Global | Invesco SP vs. SPDR Russell 1000 | Invesco SP vs. SPDR MSCI EAFE | Invesco SP vs. Dfa Intermediate Government |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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