Correlation Between SPDR Portfolio and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and SPDR Barclays 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 SPDR Barclays 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 SPDR Barclays Intermediate, you can compare the effects of market volatilities on SPDR Portfolio and SPDR Barclays 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 SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and SPDR Barclays.
Diversification Opportunities for SPDR Portfolio and SPDR Barclays
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and SPDR is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Intermediate and SPDR Barclays Intermediate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Interm 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 SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Interm has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and SPDR Barclays go up and down completely randomly.
Pair Corralation between SPDR Portfolio and SPDR Barclays
Given the investment horizon of 90 days SPDR Portfolio is expected to generate 1.22 times less return on investment than SPDR Barclays. In addition to that, SPDR Portfolio is 1.36 times more volatile than SPDR Barclays Intermediate. It trades about 0.1 of its total potential returns per unit of risk. SPDR Barclays Intermediate is currently generating about 0.16 per unit of volatility. If you would invest 3,186 in SPDR Barclays Intermediate on September 1, 2024 and sell it today you would earn a total of 140.00 from holding SPDR Barclays Intermediate or generate 4.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio Intermediate vs. SPDR Barclays Intermediate
Performance |
| Timeline |
| SPDR Portfolio Inter |
| SPDR Barclays Interm |
SPDR Portfolio and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and SPDR Barclays
The main advantage of trading using opposite SPDR Portfolio and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, SPDR Barclays 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 Barclays will offset losses from the drop in SPDR Barclays' long position.| SPDR Portfolio vs. Janus Henderson Short | SPDR Portfolio vs. iShares CMBS ETF | SPDR Portfolio vs. Janus Detroit Street | SPDR Portfolio vs. Alpha Architect Gdsdn |
| SPDR Barclays vs. SPDR Barclays Short | SPDR Barclays vs. SPDR Bloomberg Emerging | SPDR Barclays vs. SPDR Barclays Long | SPDR Barclays vs. SPDR Barclays Short |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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