Correlation Between Invesco FTSE and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both Invesco FTSE 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 Invesco FTSE and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco FTSE RAFI and SPDR MSCI World, you can compare the effects of market volatilities on Invesco FTSE 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 Invesco FTSE with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco FTSE and SPDR MSCI.
Diversification Opportunities for Invesco FTSE and SPDR MSCI
0.53 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Invesco and SPDR is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI 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 Invesco FTSE 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 Invesco FTSE RAFI 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 Invesco FTSE i.e., Invesco FTSE and SPDR MSCI go up and down completely randomly.
Pair Corralation between Invesco FTSE and SPDR MSCI
Considering the 90-day investment horizon Invesco FTSE is expected to generate 1.27 times less return on investment than SPDR MSCI. In addition to that, Invesco FTSE is 1.57 times more volatile than SPDR MSCI World. It trades about 0.05 of its total potential returns per unit of risk. SPDR MSCI World is currently generating about 0.1 per unit of volatility. If you would invest 9,320 in SPDR MSCI World on August 29, 2024 and sell it today you would earn a total of 3,587 from holding SPDR MSCI World or generate 38.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco FTSE RAFI vs. SPDR MSCI World
Performance |
| Timeline |
| Invesco FTSE RAFI |
| SPDR MSCI World |
Invesco FTSE and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco FTSE and SPDR MSCI
The main advantage of trading using opposite Invesco FTSE and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco FTSE 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.| Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco FTSE RAFI | Invesco FTSE vs. Invesco DWA Emerging |
| SPDR MSCI vs. SPDR MSCI EAFE | SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR MSCI USA | SPDR MSCI vs. SPDR SP 1500 |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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