Correlation Between SPDR Russell and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both SPDR Russell and SPDR Portfolio 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 Russell and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Russell Small and SPDR Portfolio SP, you can compare the effects of market volatilities on SPDR Russell and SPDR Portfolio 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 Russell with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Russell and SPDR Portfolio.
Diversification Opportunities for SPDR Russell and SPDR Portfolio
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and SPDR is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Russell Small and SPDR Portfolio SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio SP and SPDR Russell 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 Russell Small are associated (or correlated) with SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio SP has no effect on the direction of SPDR Russell i.e., SPDR Russell and SPDR Portfolio go up and down completely randomly.
Pair Corralation between SPDR Russell and SPDR Portfolio
Given the investment horizon of 90 days SPDR Russell Small is expected to generate 1.05 times more return on investment than SPDR Portfolio. However, SPDR Russell is 1.05 times more volatile than SPDR Portfolio SP. It trades about 0.21 of its potential returns per unit of risk. SPDR Portfolio SP is currently generating about 0.11 per unit of risk. If you would invest 5,532 in SPDR Russell Small on November 5, 2024 and sell it today you would earn a total of 196.00 from holding SPDR Russell Small or generate 3.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Russell Small vs. SPDR Portfolio SP
Performance |
| Timeline |
| SPDR Russell Small |
| SPDR Portfolio SP |
SPDR Russell and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Russell and SPDR Portfolio
The main advantage of trading using opposite SPDR Russell and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Russell position performs unexpectedly, SPDR Portfolio 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 Portfolio will offset losses from the drop in SPDR Portfolio's long position.| SPDR Russell vs. SPDR Portfolio SP | SPDR Russell vs. SPDR SP World | SPDR Russell vs. SPDR Portfolio SP | SPDR Russell vs. SPDR Portfolio Emerging |
| SPDR Portfolio vs. SPDR Portfolio Emerging | SPDR Portfolio vs. SPDR SP World | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Russell Small |
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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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