Correlation Between SPDR Portfolio and DoubleLine Shiller
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and DoubleLine Shiller 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 DoubleLine Shiller into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio SP and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on SPDR Portfolio and DoubleLine Shiller 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 DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and DoubleLine Shiller.
Diversification Opportunities for SPDR Portfolio and DoubleLine Shiller
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and DoubleLine is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and DoubleLine Shiller CAPE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DoubleLine Shiller CAPE 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 SP are associated (or correlated) with DoubleLine Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DoubleLine Shiller CAPE has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and DoubleLine Shiller go up and down completely randomly.
Pair Corralation between SPDR Portfolio and DoubleLine Shiller
Given the investment horizon of 90 days SPDR Portfolio is expected to generate 1.46 times less return on investment than DoubleLine Shiller. In addition to that, SPDR Portfolio is 1.03 times more volatile than DoubleLine Shiller CAPE. It trades about 0.38 of its total potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about 0.58 per unit of volatility. If you would invest 2,956 in DoubleLine Shiller CAPE on September 4, 2024 and sell it today you would earn a total of 249.00 from holding DoubleLine Shiller CAPE or generate 8.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.24% |
| Values | Daily Returns |
SPDR Portfolio SP vs. DoubleLine Shiller CAPE
Performance |
| Timeline |
| SPDR Portfolio SP |
| DoubleLine Shiller CAPE |
SPDR Portfolio and DoubleLine Shiller Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and DoubleLine Shiller
The main advantage of trading using opposite SPDR Portfolio and DoubleLine Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, DoubleLine Shiller 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 DoubleLine Shiller will offset losses from the drop in DoubleLine Shiller's long position.| SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. Invesco NASDAQ 100 | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio SP |
| DoubleLine Shiller vs. FT Vest Equity | DoubleLine Shiller vs. Zillow Group Class | DoubleLine Shiller vs. Northern Lights | DoubleLine Shiller vs. VanEck Vectors Moodys |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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