Correlation Between SPDR MSCI and Invesco SP
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI 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 MSCI 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 MSCI EAFE and Invesco SP Global, you can compare the effects of market volatilities on SPDR MSCI 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 MSCI with a short position of Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Invesco SP.
Diversification Opportunities for SPDR MSCI and Invesco SP
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between SPDR and Invesco is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI EAFE and Invesco SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP Global and SPDR MSCI 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 MSCI EAFE 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 Global has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Invesco SP go up and down completely randomly.
Pair Corralation between SPDR MSCI and Invesco SP
Given the investment horizon of 90 days SPDR MSCI EAFE is expected to generate 0.83 times more return on investment than Invesco SP. However, SPDR MSCI EAFE is 1.21 times less risky than Invesco SP. It trades about 0.05 of its potential returns per unit of risk. Invesco SP Global is currently generating about 0.04 per unit of risk. If you would invest 6,573 in SPDR MSCI EAFE on November 27, 2024 and sell it today you would earn a total of 1,234 from holding SPDR MSCI EAFE or generate 18.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI EAFE vs. Invesco SP Global
Performance |
| Timeline |
| SPDR MSCI EAFE |
| Invesco SP Global |
SPDR MSCI and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Invesco SP
The main advantage of trading using opposite SPDR MSCI and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI 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 MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR MSCI USA | SPDR MSCI vs. SPDR MSCI World | SPDR MSCI vs. SPDR SSGA Large |
| Invesco SP vs. First Trust Water | Invesco SP vs. Invesco Global Water | Invesco SP vs. Invesco Water Resources | Invesco SP vs. Consolidated Water Co |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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