Correlation Between SPDR SP and Dimensional International
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Dimensional International 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 SP and Dimensional International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP World and Dimensional International Sustainability, you can compare the effects of market volatilities on SPDR SP and Dimensional International 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 SP with a short position of Dimensional International. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Dimensional International.
Diversification Opportunities for SPDR SP and Dimensional International
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and Dimensional is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP World and Dimensional International Sust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional International and SPDR SP 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 SP World are associated (or correlated) with Dimensional International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional International has no effect on the direction of SPDR SP i.e., SPDR SP and Dimensional International go up and down completely randomly.
Pair Corralation between SPDR SP and Dimensional International
Given the investment horizon of 90 days SPDR SP is expected to generate 5.96 times less return on investment than Dimensional International. In addition to that, SPDR SP is 1.03 times more volatile than Dimensional International Sustainability. It trades about 0.0 of its total potential returns per unit of risk. Dimensional International Sustainability is currently generating about 0.02 per unit of volatility. If you would invest 3,365 in Dimensional International Sustainability on September 3, 2024 and sell it today you would earn a total of 45.00 from holding Dimensional International Sustainability or generate 1.34% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP World vs. Dimensional International Sust
Performance |
| Timeline |
| SPDR SP World |
| Dimensional International |
SPDR SP and Dimensional International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Dimensional International
The main advantage of trading using opposite SPDR SP and Dimensional International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Dimensional International 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 Dimensional International will offset losses from the drop in Dimensional International's long position.| SPDR SP vs. SPDR Portfolio Emerging | SPDR SP vs. SPDR Portfolio SP | SPDR SP vs. SPDR Portfolio SP | SPDR SP vs. SPDR Russell Small |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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