Correlation Between SPDR SP and Xtrackers Russell
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Xtrackers Russell 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 Xtrackers Russell 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 Xtrackers Russell Multifactor, you can compare the effects of market volatilities on SPDR SP and Xtrackers Russell 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 Xtrackers Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Xtrackers Russell.
Diversification Opportunities for SPDR SP and Xtrackers Russell
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Xtrackers is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Xtrackers Russell Multifactor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers Russell 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 Xtrackers Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers Russell has no effect on the direction of SPDR SP i.e., SPDR SP and Xtrackers Russell go up and down completely randomly.
Pair Corralation between SPDR SP and Xtrackers Russell
Considering the 90-day investment horizon SPDR SP is expected to generate 1.18 times less return on investment than Xtrackers Russell. But when comparing it to its historical volatility, SPDR SP 500 is 1.18 times less risky than Xtrackers Russell. It trades about 0.38 of its potential returns per unit of risk. Xtrackers Russell Multifactor is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest 5,413 in Xtrackers Russell Multifactor on September 1, 2024 and sell it today you would earn a total of 401.00 from holding Xtrackers Russell Multifactor or generate 7.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR SP 500 vs. Xtrackers Russell Multifactor
Performance |
| Timeline |
| SPDR SP 500 |
| Xtrackers Russell |
SPDR SP and Xtrackers Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Xtrackers Russell
The main advantage of trading using opposite SPDR SP and Xtrackers Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Xtrackers Russell 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 Xtrackers Russell will offset losses from the drop in Xtrackers Russell's long position.| SPDR SP vs. Vanguard Total Stock | SPDR SP vs. Vanguard FTSE Emerging | SPDR SP vs. FT Vest Equity | SPDR SP vs. Zillow Group Class |
| Xtrackers Russell vs. Xtrackers FTSE Developed | Xtrackers Russell vs. John Hancock Multifactor | Xtrackers Russell vs. Xtrackers MSCI All | Xtrackers Russell vs. Xtrackers MSCI Eurozone |
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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