Correlation Between SPDR Portfolio and SGI Enhanced
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and SGI Enhanced 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 SGI Enhanced 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 SGI Enhanced Core, you can compare the effects of market volatilities on SPDR Portfolio and SGI Enhanced 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 SGI Enhanced. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and SGI Enhanced.
Diversification Opportunities for SPDR Portfolio and SGI Enhanced
-0.71 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between SPDR and SGI is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Aggregate and SGI Enhanced Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SGI Enhanced Core 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 SGI Enhanced. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SGI Enhanced Core has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and SGI Enhanced go up and down completely randomly.
Pair Corralation between SPDR Portfolio and SGI Enhanced
Given the investment horizon of 90 days SPDR Portfolio Aggregate is expected to generate 3.95 times more return on investment than SGI Enhanced. However, SPDR Portfolio is 3.95 times more volatile than SGI Enhanced Core. It trades about 0.09 of its potential returns per unit of risk. SGI Enhanced Core is currently generating about 0.35 per unit of risk. If you would invest 2,514 in SPDR Portfolio Aggregate on September 18, 2024 and sell it today you would earn a total of 15.00 from holding SPDR Portfolio Aggregate or generate 0.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio Aggregate vs. SGI Enhanced Core
Performance |
| Timeline |
| SPDR Portfolio Aggregate |
| SGI Enhanced Core |
SPDR Portfolio and SGI Enhanced Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and SGI Enhanced
The main advantage of trading using opposite SPDR Portfolio and SGI Enhanced positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, SGI Enhanced 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 SGI Enhanced will offset losses from the drop in SGI Enhanced'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 |
| SGI Enhanced vs. ClearShares Ultra Short Maturity | SGI Enhanced vs. PGIM Active High | SGI Enhanced vs. Pacer Trendpilot Bond | SGI Enhanced vs. Pacer Lunt Large |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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