Correlation Between SPDR MSCI and VanEck Agribusiness
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and VanEck Agribusiness 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 VanEck Agribusiness 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 VanEck Agribusiness ETF, you can compare the effects of market volatilities on SPDR MSCI and VanEck Agribusiness 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 VanEck Agribusiness. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and VanEck Agribusiness.
Diversification Opportunities for SPDR MSCI and VanEck Agribusiness
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and VanEck is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI EAFE and VanEck Agribusiness ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck Agribusiness ETF 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 VanEck Agribusiness. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck Agribusiness ETF has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and VanEck Agribusiness go up and down completely randomly.
Pair Corralation between SPDR MSCI and VanEck Agribusiness
Given the investment horizon of 90 days SPDR MSCI EAFE is expected to generate 0.82 times more return on investment than VanEck Agribusiness. However, SPDR MSCI EAFE is 1.22 times less risky than VanEck Agribusiness. It trades about 0.05 of its potential returns per unit of risk. VanEck Agribusiness ETF is currently generating about -0.02 per unit of risk. If you would invest 6,735 in SPDR MSCI EAFE on September 2, 2024 and sell it today you would earn a total of 879.00 from holding SPDR MSCI EAFE or generate 13.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI EAFE vs. VanEck Agribusiness ETF
Performance |
| Timeline |
| SPDR MSCI EAFE |
| VanEck Agribusiness ETF |
SPDR MSCI and VanEck Agribusiness Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and VanEck Agribusiness
The main advantage of trading using opposite SPDR MSCI and VanEck Agribusiness positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, VanEck Agribusiness 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 VanEck Agribusiness will offset losses from the drop in VanEck Agribusiness' 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 |
| VanEck Agribusiness vs. Invesco DB Agriculture | VanEck Agribusiness vs. Invesco DB Commodity | VanEck Agribusiness vs. VanEck Steel ETF | VanEck Agribusiness vs. SPDR SP Metals |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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