Correlation Between SPDR SPASX and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR SPASX 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 SPASX 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 SPASX 200 and SPDR MSCI World, you can compare the effects of market volatilities on SPDR SPASX 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 SPASX with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SPASX and SPDR MSCI.
Diversification Opportunities for SPDR SPASX and SPDR MSCI
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SPASX 200 and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World and SPDR SPASX 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 SPASX 200 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 World has no effect on the direction of SPDR SPASX i.e., SPDR SPASX and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR SPASX and SPDR MSCI
Assuming the 90 days trading horizon SPDR SPASX 200 is expected to generate 1.37 times more return on investment than SPDR MSCI. However, SPDR SPASX is 1.37 times more volatile than SPDR MSCI World. It trades about 0.17 of its potential returns per unit of risk. SPDR MSCI World is currently generating about 0.13 per unit of risk. If you would invest 1,928 in SPDR SPASX 200 on August 29, 2024 and sell it today you would earn a total of 1,030 from holding SPDR SPASX 200 or generate 53.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SPASX 200 vs. SPDR MSCI World
Performance |
| Timeline |
| SPDR SPASX 200 |
| SPDR MSCI World |
SPDR SPASX and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SPASX and SPDR MSCI
The main advantage of trading using opposite SPDR SPASX and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SPASX 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 SPASX vs. SPDR SPASX 200 | SPDR SPASX vs. SPDR SPASX 50 | SPDR SPASX vs. SPDR MSCI World | SPDR SPASX vs. SPDR Dow Jones |
| SPDR MSCI vs. BetaShares Global Government | SPDR MSCI vs. BetaShares Geared Australian | SPDR MSCI vs. Global X Semiconductor | SPDR MSCI vs. iShares UBS 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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