Correlation Between SPDR MSCI and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and IShares 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 SPDR MSCI and IShares MSCI 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 iShares MSCI USA, you can compare the effects of market volatilities on SPDR MSCI and IShares 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 SPDR MSCI with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and IShares MSCI.
Diversification Opportunities for SPDR MSCI and IShares MSCI
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI USA and iShares MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI USA 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 IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI USA has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and IShares MSCI go up and down completely randomly.
Pair Corralation between SPDR MSCI and IShares MSCI
Considering the 90-day investment horizon SPDR MSCI USA is expected to generate 0.58 times more return on investment than IShares MSCI. However, SPDR MSCI USA is 1.73 times less risky than IShares MSCI. It trades about 0.13 of its potential returns per unit of risk. iShares MSCI USA is currently generating about 0.07 per unit of risk. If you would invest 11,215 in SPDR MSCI USA on September 1, 2024 and sell it today you would earn a total of 5,164 from holding SPDR MSCI USA or generate 46.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI USA vs. iShares MSCI USA
Performance |
| Timeline |
| SPDR MSCI USA |
| iShares MSCI USA |
SPDR MSCI and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and IShares MSCI
The main advantage of trading using opposite SPDR MSCI and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, IShares 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 IShares MSCI will offset losses from the drop in IShares MSCI'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 |
| IShares MSCI vs. iShares Equity Factor | IShares MSCI vs. iShares MSCI Emerging | IShares MSCI vs. iShares Edge MSCI | IShares MSCI vs. iShares MSCI USA |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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