Correlation Between SPDR SPASX and Vanguard MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR SPASX and Vanguard 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 SPASX and Vanguard MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SPASX 50 and Vanguard MSCI International, you can compare the effects of market volatilities on SPDR SPASX and Vanguard 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 SPASX with a short position of Vanguard MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SPASX and Vanguard MSCI.
Diversification Opportunities for SPDR SPASX and Vanguard MSCI
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and Vanguard is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SPASX 50 and Vanguard MSCI International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard MSCI Intern and SPDR SPASX 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 SPASX 50 are associated (or correlated) with Vanguard MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard MSCI Intern has no effect on the direction of SPDR SPASX i.e., SPDR SPASX and Vanguard MSCI go up and down completely randomly.
Pair Corralation between SPDR SPASX and Vanguard MSCI
Assuming the 90 days trading horizon SPDR SPASX is expected to generate 1.17 times less return on investment than Vanguard MSCI. In addition to that, SPDR SPASX is 1.09 times more volatile than Vanguard MSCI International. It trades about 0.11 of its total potential returns per unit of risk. Vanguard MSCI International is currently generating about 0.14 per unit of volatility. If you would invest 12,120 in Vanguard MSCI International on September 1, 2024 and sell it today you would earn a total of 1,531 from holding Vanguard MSCI International or generate 12.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SPASX 50 vs. Vanguard MSCI International
Performance |
| Timeline |
| SPDR SPASX 50 |
| Vanguard MSCI Intern |
SPDR SPASX and Vanguard MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SPASX and Vanguard MSCI
The main advantage of trading using opposite SPDR SPASX and Vanguard MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SPASX position performs unexpectedly, Vanguard 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 Vanguard MSCI will offset losses from the drop in Vanguard MSCI's long position.| SPDR SPASX vs. BetaShares Global Government | SPDR SPASX vs. BetaShares Geared Australian | SPDR SPASX vs. BetaShares Australian Government | SPDR SPASX vs. BetaShares Global Robotics |
| Vanguard MSCI vs. Vanguard Global Minimum | Vanguard MSCI vs. Vanguard Global Aggregate | Vanguard MSCI vs. Vanguard Australian Fixed | Vanguard MSCI vs. Vanguard Global Infrastructure |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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