Correlation Between SPDR SP and Russell Australian
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Russell Australian 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 Russell Australian 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 Russell Australian Select, you can compare the effects of market volatilities on SPDR SP and Russell Australian 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 Russell Australian. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Russell Australian.
Diversification Opportunities for SPDR SP and Russell Australian
-0.64 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between SPDR and Russell is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Russell Australian Select in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Russell Australian Select 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 Russell Australian. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell Australian Select has no effect on the direction of SPDR SP i.e., SPDR SP and Russell Australian go up and down completely randomly.
Pair Corralation between SPDR SP and Russell Australian
Assuming the 90 days trading horizon SPDR SP 500 is expected to generate 3.17 times more return on investment than Russell Australian. However, SPDR SP is 3.17 times more volatile than Russell Australian Select. It trades about 0.33 of its potential returns per unit of risk. Russell Australian Select is currently generating about 0.07 per unit of risk. If you would invest 86,646 in SPDR SP 500 on September 4, 2024 and sell it today you would earn a total of 5,994 from holding SPDR SP 500 or generate 6.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR SP 500 vs. Russell Australian Select
Performance |
| Timeline |
| SPDR SP 500 |
| Russell Australian Select |
SPDR SP and Russell Australian Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Russell Australian
The main advantage of trading using opposite SPDR SP and Russell Australian positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Russell Australian 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 Russell Australian will offset losses from the drop in Russell Australian's long position.| SPDR SP vs. SPDR SPASX 200 | SPDR SP vs. SPDR SPASX 50 | SPDR SP vs. SPDR MSCI World | SPDR SP vs. SPDR Dow Jones |
| Russell Australian vs. BetaShares Global Government | Russell Australian vs. BetaShares Geared Australian | Russell Australian vs. Global X Semiconductor | Russell Australian vs. iShares UBS Government |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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