Correlation Between SPDR Portfolio and SPDR Russell
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and SPDR Russell 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 Portfolio and SPDR Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio Aggregate and SPDR Russell Small, you can compare the effects of market volatilities on SPDR Portfolio and SPDR Russell 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 Portfolio with a short position of SPDR Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and SPDR Russell.
Diversification Opportunities for SPDR Portfolio and SPDR Russell
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Aggregate and SPDR Russell Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Russell Small and SPDR Portfolio 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 Portfolio Aggregate are associated (or correlated) with SPDR Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Russell Small has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and SPDR Russell go up and down completely randomly.
Pair Corralation between SPDR Portfolio and SPDR Russell
Given the investment horizon of 90 days SPDR Portfolio Aggregate is expected to generate 0.38 times more return on investment than SPDR Russell. However, SPDR Portfolio Aggregate is 2.62 times less risky than SPDR Russell. It trades about 0.18 of its potential returns per unit of risk. SPDR Russell Small is currently generating about -0.07 per unit of risk. If you would invest 2,493 in SPDR Portfolio Aggregate on November 18, 2024 and sell it today you would earn a total of 28.00 from holding SPDR Portfolio Aggregate or generate 1.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio Aggregate vs. SPDR Russell Small
Performance |
| Timeline |
| SPDR Portfolio Aggregate |
| SPDR Russell Small |
SPDR Portfolio and SPDR Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and SPDR Russell
The main advantage of trading using opposite SPDR Portfolio and SPDR Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, SPDR Russell 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 Russell will offset losses from the drop in SPDR Russell's long position.| SPDR Portfolio vs. SPDR SP World | SPDR Portfolio vs. SPDR Barclays Intermediate | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio Emerging |
| SPDR Russell vs. SPDR Portfolio SP | SPDR Russell vs. SPDR SP World | SPDR Russell vs. SPDR Portfolio SP | SPDR Russell vs. SPDR Portfolio Emerging |
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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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