Correlation Between SPDR Portfolio and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and SPDR 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 SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio MSCI and SPDR MSCI World, you can compare the effects of market volatilities on SPDR Portfolio and SPDR 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and SPDR MSCI.
Diversification Opportunities for SPDR Portfolio and SPDR MSCI
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio MSCI and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World 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 MSCI are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI World has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR Portfolio and SPDR MSCI
Given the investment horizon of 90 days SPDR Portfolio is expected to generate 1.01 times less return on investment than SPDR MSCI. In addition to that, SPDR Portfolio is 1.33 times more volatile than SPDR MSCI World. It trades about 0.05 of its total potential returns per unit of risk. SPDR MSCI World is currently generating about 0.07 per unit of volatility. If you would invest 12,450 in SPDR MSCI World on October 23, 2024 and sell it today you would earn a total of 92.00 from holding SPDR MSCI World or generate 0.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio MSCI vs. SPDR MSCI World
Performance |
| Timeline |
| SPDR Portfolio MSCI |
| SPDR MSCI World |
SPDR Portfolio and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and SPDR MSCI
The main advantage of trading using opposite SPDR Portfolio and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| SPDR Portfolio vs. SPDR Portfolio Europe | SPDR Portfolio vs. SPDR Portfolio Corporate | SPDR Portfolio vs. SPDR Portfolio Intermediate | SPDR Portfolio vs. SPDR MSCI EAFE |
| SPDR MSCI vs. SPDR MSCI EAFE | SPDR MSCI vs. SPDR MSCI Emerging | SPDR MSCI vs. SPDR MSCI USA | SPDR MSCI vs. SPDR SP 1500 |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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