Correlation Between SPDR Portfolio and IShares Trust
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and IShares Trust 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 IShares Trust 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 iShares Trust, you can compare the effects of market volatilities on SPDR Portfolio and IShares Trust 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 IShares Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and IShares Trust.
Diversification Opportunities for SPDR Portfolio and IShares Trust
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and IShares is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and iShares Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Trust 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 IShares Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Trust has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and IShares Trust go up and down completely randomly.
Pair Corralation between SPDR Portfolio and IShares Trust
Given the investment horizon of 90 days SPDR Portfolio is expected to generate 1.27 times less return on investment than IShares Trust. In addition to that, SPDR Portfolio is 1.16 times more volatile than iShares Trust. It trades about 0.03 of its total potential returns per unit of risk. iShares Trust is currently generating about 0.05 per unit of volatility. If you would invest 3,158 in iShares Trust on October 22, 2024 and sell it today you would earn a total of 19.00 from holding iShares Trust or generate 0.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 94.74% |
| Values | Daily Returns |
SPDR Portfolio SP vs. iShares Trust
Performance |
| Timeline |
| SPDR Portfolio SP |
| iShares Trust |
SPDR Portfolio and IShares Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and IShares Trust
The main advantage of trading using opposite SPDR Portfolio and IShares Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, IShares Trust 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 IShares Trust will offset losses from the drop in IShares Trust'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 |
| IShares Trust vs. PIMCO Mortgage Backed Securities | IShares Trust vs. Valkyrie Bitcoin Miners | IShares Trust vs. Tidal Trust II | IShares Trust vs. Aquagold International |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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