Correlation Between SPDR Portfolio and PIMCO Broad
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and PIMCO Broad 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 PIMCO Broad into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio TIPS and PIMCO Broad TIPS, you can compare the effects of market volatilities on SPDR Portfolio and PIMCO Broad 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 PIMCO Broad. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and PIMCO Broad.
Diversification Opportunities for SPDR Portfolio and PIMCO Broad
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and PIMCO is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio TIPS and PIMCO Broad TIPS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO Broad TIPS 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 TIPS are associated (or correlated) with PIMCO Broad. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO Broad TIPS has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and PIMCO Broad go up and down completely randomly.
Pair Corralation between SPDR Portfolio and PIMCO Broad
Given the investment horizon of 90 days SPDR Portfolio TIPS is expected to generate 1.04 times more return on investment than PIMCO Broad. However, SPDR Portfolio is 1.04 times more volatile than PIMCO Broad TIPS. It trades about -0.03 of its potential returns per unit of risk. PIMCO Broad TIPS is currently generating about -0.04 per unit of risk. If you would invest 2,555 in SPDR Portfolio TIPS on October 20, 2024 and sell it today you would lose (10.00) from holding SPDR Portfolio TIPS or give up 0.39% 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 TIPS vs. PIMCO Broad TIPS
Performance |
| Timeline |
| SPDR Portfolio TIPS |
| PIMCO Broad TIPS |
SPDR Portfolio and PIMCO Broad Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and PIMCO Broad
The main advantage of trading using opposite SPDR Portfolio and PIMCO Broad positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, PIMCO Broad 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 PIMCO Broad will offset losses from the drop in PIMCO Broad's long position.| SPDR Portfolio vs. SPDR Bloomberg 1 10 | SPDR Portfolio vs. iShares 0 5 Year | SPDR Portfolio vs. Schwab TIPS ETF | SPDR Portfolio vs. PIMCO 15 Year |
| PIMCO Broad vs. PIMCO 1 5 Year | PIMCO Broad vs. PIMCO 15 Year | PIMCO Broad vs. SPDR Bloomberg 1 10 | PIMCO Broad vs. FlexShares iBoxx 5 Year |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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