Correlation Between SPDR Portfolio and ProShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and ProShares 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 Portfolio and ProShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio Emerging and ProShares MSCI Emerging, you can compare the effects of market volatilities on SPDR Portfolio and ProShares 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 Portfolio with a short position of ProShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and ProShares MSCI.
Diversification Opportunities for SPDR Portfolio and ProShares MSCI
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and ProShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Emerging and ProShares MSCI Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares MSCI Emerging 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 Emerging are associated (or correlated) with ProShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares MSCI Emerging has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and ProShares MSCI go up and down completely randomly.
Pair Corralation between SPDR Portfolio and ProShares MSCI
Given the investment horizon of 90 days SPDR Portfolio Emerging is expected to under-perform the ProShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Portfolio Emerging is 1.34 times less risky than ProShares MSCI. The etf trades about -0.16 of its potential returns per unit of risk. The ProShares MSCI Emerging is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 4,575 in ProShares MSCI Emerging on August 24, 2024 and sell it today you would lose (134.00) from holding ProShares MSCI Emerging or give up 2.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio Emerging vs. ProShares MSCI Emerging
Performance |
| Timeline |
| SPDR Portfolio Emerging |
| ProShares MSCI Emerging |
SPDR Portfolio and ProShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and ProShares MSCI
The main advantage of trading using opposite SPDR Portfolio and ProShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, ProShares 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 ProShares MSCI will offset losses from the drop in ProShares MSCI's long position.| SPDR Portfolio vs. Invesco PureBeta MSCI | SPDR Portfolio vs. Aquagold International | SPDR Portfolio vs. Morningstar Unconstrained Allocation | SPDR Portfolio vs. High Yield Municipal Fund |
| ProShares MSCI vs. ProShares MSCI EAFE | ProShares MSCI vs. ProShares MSCI Europe | ProShares MSCI vs. ProShares Russell 2000 | ProShares MSCI vs. ProShares SP MidCap |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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