Correlation Between SPDR SP and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both SPDR SP 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 SP 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 SP 500 and SPDR Barclays Euro, you can compare the effects of market volatilities on SPDR SP 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 SP with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and SPDR Barclays.
Diversification Opportunities for SPDR SP and SPDR Barclays
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and SPDR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and SPDR Barclays Euro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Euro and SPDR SP 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 SP 500 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 Euro has no effect on the direction of SPDR SP i.e., SPDR SP and SPDR Barclays go up and down completely randomly.
Pair Corralation between SPDR SP and SPDR Barclays
Assuming the 90 days trading horizon SPDR SP 500 is expected to generate 3.73 times more return on investment than SPDR Barclays. However, SPDR SP is 3.73 times more volatile than SPDR Barclays Euro. It trades about 0.25 of its potential returns per unit of risk. SPDR Barclays Euro is currently generating about 0.15 per unit of risk. If you would invest 1,027 in SPDR SP 500 on August 28, 2024 and sell it today you would earn a total of 133.00 from holding SPDR SP 500 or generate 12.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. SPDR Barclays Euro
Performance |
| Timeline |
| SPDR SP 500 |
| SPDR Barclays Euro |
SPDR SP and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and SPDR Barclays
The main advantage of trading using opposite SPDR SP and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP 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 SP vs. Leverage Shares 3x | SPDR SP vs. Leverage Shares 3x | SPDR SP vs. Leverage Shares 3x | SPDR SP vs. WisdomTree Short GBP |
| SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. Leverage Shares 3x | SPDR Barclays vs. WisdomTree Short GBP |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Other Complementary Tools
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing |