Correlation Between SPDR MSCI and SPDR Dow
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and SPDR Dow 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 Dow 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 Dow Jones, you can compare the effects of market volatilities on SPDR MSCI and SPDR Dow 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 Dow. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and SPDR Dow.
Diversification Opportunities for SPDR MSCI and SPDR Dow
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and SPDR Dow Jones in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Dow Jones 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 Dow. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Dow Jones has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and SPDR Dow go up and down completely randomly.
Pair Corralation between SPDR MSCI and SPDR Dow
Assuming the 90 days trading horizon SPDR MSCI Europe is expected to under-perform the SPDR Dow. But the etf apears to be less risky and, when comparing its historical volatility, SPDR MSCI Europe is 1.11 times less risky than SPDR Dow. The etf trades about -0.13 of its potential returns per unit of risk. The SPDR Dow Jones is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 3,555 in SPDR Dow Jones on August 28, 2024 and sell it today you would lose (10.00) from holding SPDR Dow Jones or give up 0.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Europe vs. SPDR Dow Jones
Performance |
| Timeline |
| SPDR MSCI Europe |
| SPDR Dow Jones |
SPDR MSCI and SPDR Dow Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and SPDR Dow
The main advantage of trading using opposite SPDR MSCI and SPDR Dow positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, SPDR Dow 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 Dow will offset losses from the drop in SPDR Dow's 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 Dow vs. Vanguard FTSE Developed | SPDR Dow vs. Leverage Shares 2x | SPDR Dow vs. Amundi Index Solutions | SPDR Dow vs. Amundi Index Solutions |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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