Correlation Between SPDR MSCI and DBX ETF
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and DBX ETF 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 DBX ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI USA and DBX ETF Trust, you can compare the effects of market volatilities on SPDR MSCI and DBX ETF 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 DBX ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and DBX ETF.
Diversification Opportunities for SPDR MSCI and DBX ETF
Very poor diversification
The 3 months correlation between SPDR and DBX is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI USA and DBX ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DBX ETF Trust 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 USA are associated (or correlated) with DBX ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DBX ETF Trust has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and DBX ETF go up and down completely randomly.
Pair Corralation between SPDR MSCI and DBX ETF
Considering the 90-day investment horizon SPDR MSCI is expected to generate 1.28 times less return on investment than DBX ETF. But when comparing it to its historical volatility, SPDR MSCI USA is 1.12 times less risky than DBX ETF. It trades about 0.18 of its potential returns per unit of risk. DBX ETF Trust is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 5,203 in DBX ETF Trust on October 20, 2024 and sell it today you would earn a total of 140.00 from holding DBX ETF Trust or generate 2.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.0% |
| Values | Daily Returns |
SPDR MSCI USA vs. DBX ETF Trust
Performance |
| Timeline |
| SPDR MSCI USA |
| DBX ETF Trust |
SPDR MSCI and DBX ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and DBX ETF
The main advantage of trading using opposite SPDR MSCI and DBX ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, DBX ETF 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 DBX ETF will offset losses from the drop in DBX ETF's long position.| SPDR MSCI vs. SPDR SSGA Large | SPDR MSCI vs. SPDR MSCI EAFE | SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR Russell 1000 |
| DBX ETF vs. SPDR MSCI USA | DBX ETF vs. American Century STOXX | DBX ETF vs. Hartford Multifactor Equity | DBX ETF vs. PIMCO RAFI Dynamic |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Other Complementary Tools
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data |