Correlation Between SPDR Portfolio and Franklin Liberty
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and Franklin Liberty 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 Franklin Liberty into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio Intermediate and Franklin Liberty Treasury, you can compare the effects of market volatilities on SPDR Portfolio and Franklin Liberty 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 Franklin Liberty. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and Franklin Liberty.
Diversification Opportunities for SPDR Portfolio and Franklin Liberty
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and Franklin is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Intermediate and Franklin Liberty Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Liberty Treasury 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 Intermediate are associated (or correlated) with Franklin Liberty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Liberty Treasury has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and Franklin Liberty go up and down completely randomly.
Pair Corralation between SPDR Portfolio and Franklin Liberty
Given the investment horizon of 90 days SPDR Portfolio Intermediate is expected to under-perform the Franklin Liberty. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Portfolio Intermediate is 1.15 times less risky than Franklin Liberty. The etf trades about -0.14 of its potential returns per unit of risk. The Franklin Liberty Treasury is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 2,044 in Franklin Liberty Treasury on August 24, 2024 and sell it today you would lose (15.00) from holding Franklin Liberty Treasury or give up 0.73% 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 Intermediate vs. Franklin Liberty Treasury
Performance |
| Timeline |
| SPDR Portfolio Inter |
| Franklin Liberty Treasury |
SPDR Portfolio and Franklin Liberty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and Franklin Liberty
The main advantage of trading using opposite SPDR Portfolio and Franklin Liberty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, Franklin Liberty 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 Franklin Liberty will offset losses from the drop in Franklin Liberty's long position.| SPDR Portfolio vs. SPDR Barclays Short | SPDR Portfolio vs. SPDR Barclays Long | SPDR Portfolio vs. SPDR Portfolio Mortgage | SPDR Portfolio vs. SPDR Barclays Intermediate |
| Franklin Liberty vs. Franklin Templeton ETF | Franklin Liberty vs. Franklin Liberty Investment | Franklin Liberty vs. Franklin Liberty International | Franklin Liberty vs. Franklin Liberty Intermediate |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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