Correlation Between SPDR MSCI and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and SPDR Barclays 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 SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI Europe and SPDR Barclays Euro, you can compare the effects of market volatilities on SPDR MSCI and SPDR Barclays 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 SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and SPDR Barclays.
Diversification Opportunities for SPDR MSCI and SPDR Barclays
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between SPDR and SPDR is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and SPDR Barclays Euro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Euro 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 Europe are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Euro has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and SPDR Barclays go up and down completely randomly.
Pair Corralation between SPDR MSCI and SPDR Barclays
Assuming the 90 days trading horizon SPDR MSCI Europe is expected to under-perform the SPDR Barclays. In addition to that, SPDR MSCI is 3.3 times more volatile than SPDR Barclays Euro. It trades about -0.06 of its total potential returns per unit of risk. SPDR Barclays Euro is currently generating about 0.15 per unit of volatility. If you would invest 5,294 in SPDR Barclays Euro on August 28, 2024 and sell it today you would earn a total of 105.00 from holding SPDR Barclays Euro or generate 1.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Europe vs. SPDR Barclays Euro
Performance |
| Timeline |
| SPDR MSCI Europe |
| SPDR Barclays Euro |
SPDR MSCI and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and SPDR Barclays
The main advantage of trading using opposite SPDR MSCI and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, SPDR Barclays 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 SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.| SPDR MSCI vs. SPDR Dow Jones | SPDR MSCI vs. SPDR SP Dividend | SPDR MSCI vs. SPDR Barclays Euro | SPDR MSCI vs. SPDR SP Consumer |
| SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. WisdomTree Short GBP |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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