Correlation Between SPDR Bloomberg and IShares Fallen
Can any of the company-specific risk be diversified away by investing in both SPDR Bloomberg and IShares Fallen 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 Bloomberg and IShares Fallen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Bloomberg Short and iShares Fallen Angels, you can compare the effects of market volatilities on SPDR Bloomberg and IShares Fallen 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 Bloomberg with a short position of IShares Fallen. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Bloomberg and IShares Fallen.
Diversification Opportunities for SPDR Bloomberg and IShares Fallen
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and IShares is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Bloomberg Short and iShares Fallen Angels in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Fallen Angels and SPDR Bloomberg 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 Bloomberg Short are associated (or correlated) with IShares Fallen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Fallen Angels has no effect on the direction of SPDR Bloomberg i.e., SPDR Bloomberg and IShares Fallen go up and down completely randomly.
Pair Corralation between SPDR Bloomberg and IShares Fallen
Given the investment horizon of 90 days SPDR Bloomberg is expected to generate 1.06 times less return on investment than IShares Fallen. But when comparing it to its historical volatility, SPDR Bloomberg Short is 1.23 times less risky than IShares Fallen. It trades about 0.13 of its potential returns per unit of risk. iShares Fallen Angels is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 2,251 in iShares Fallen Angels on November 5, 2024 and sell it today you would earn a total of 461.00 from holding iShares Fallen Angels or generate 20.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Bloomberg Short vs. iShares Fallen Angels
Performance |
| Timeline |
| SPDR Bloomberg Short |
| iShares Fallen Angels |
SPDR Bloomberg and IShares Fallen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Bloomberg and IShares Fallen
The main advantage of trading using opposite SPDR Bloomberg and IShares Fallen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Bloomberg position performs unexpectedly, IShares Fallen 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 Fallen will offset losses from the drop in IShares Fallen's long position.| SPDR Bloomberg vs. PIMCO 0 5 Year | SPDR Bloomberg vs. iShares 0 5 Year | SPDR Bloomberg vs. Invesco Senior Loan | SPDR Bloomberg vs. SPDR Blackstone Senior |
| IShares Fallen vs. VanEck Fallen Angel | IShares Fallen vs. iShares Core Total | IShares Fallen vs. iShares 0 5 Year | IShares Fallen vs. iShares 0 5 Year |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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