Correlation Between SPDR MSCI and Beta Shares
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Beta Shares 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 Beta Shares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI World and Beta Shares SPASX, you can compare the effects of market volatilities on SPDR MSCI and Beta Shares 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 Beta Shares. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Beta Shares.
Diversification Opportunities for SPDR MSCI and Beta Shares
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Beta is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World and Beta Shares SPASX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Beta Shares SPASX 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 World are associated (or correlated) with Beta Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Beta Shares SPASX has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Beta Shares go up and down completely randomly.
Pair Corralation between SPDR MSCI and Beta Shares
Assuming the 90 days trading horizon SPDR MSCI is expected to generate 1.15 times less return on investment than Beta Shares. But when comparing it to its historical volatility, SPDR MSCI World is 1.21 times less risky than Beta Shares. It trades about 0.1 of its potential returns per unit of risk. Beta Shares SPASX is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 1,129 in Beta Shares SPASX on September 4, 2024 and sell it today you would earn a total of 570.00 from holding Beta Shares SPASX or generate 50.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI World vs. Beta Shares SPASX
Performance |
| Timeline |
| SPDR MSCI World |
| Beta Shares SPASX |
SPDR MSCI and Beta Shares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Beta Shares
The main advantage of trading using opposite SPDR MSCI and Beta Shares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Beta Shares 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 Beta Shares will offset losses from the drop in Beta Shares' long position.| SPDR MSCI vs. Beta Shares SPASX | SPDR MSCI vs. Vanguard Australian Property | SPDR MSCI vs. SPDR SP 500 | SPDR MSCI vs. Vanguard Total Market |
| Beta Shares vs. SPDR SP 500 | Beta Shares vs. iShares Core SP | Beta Shares vs. Vanguard Total Market | Beta Shares vs. iShares Core SP |
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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