Correlation Between SPDR SP and Invesco CurrencyShares
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Invesco CurrencyShares 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 Invesco CurrencyShares 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 Invesco CurrencyShares Japanese, you can compare the effects of market volatilities on SPDR SP and Invesco CurrencyShares 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 Invesco CurrencyShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Invesco CurrencyShares.
Diversification Opportunities for SPDR SP and Invesco CurrencyShares
-0.83 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between SPDR and Invesco is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Invesco CurrencyShares Japanes in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco CurrencyShares 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 Invesco CurrencyShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco CurrencyShares has no effect on the direction of SPDR SP i.e., SPDR SP and Invesco CurrencyShares go up and down completely randomly.
Pair Corralation between SPDR SP and Invesco CurrencyShares
Considering the 90-day investment horizon SPDR SP 500 is expected to generate 1.18 times more return on investment than Invesco CurrencyShares. However, SPDR SP is 1.18 times more volatile than Invesco CurrencyShares Japanese. It trades about 0.1 of its potential returns per unit of risk. Invesco CurrencyShares Japanese is currently generating about -0.04 per unit of risk. If you would invest 39,526 in SPDR SP 500 on August 23, 2024 and sell it today you would earn a total of 19,841 from holding SPDR SP 500 or generate 50.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. Invesco CurrencyShares Japanes
Performance |
| Timeline |
| SPDR SP 500 |
| Invesco CurrencyShares |
SPDR SP and Invesco CurrencyShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Invesco CurrencyShares
The main advantage of trading using opposite SPDR SP and Invesco CurrencyShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Invesco CurrencyShares 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 Invesco CurrencyShares will offset losses from the drop in Invesco CurrencyShares' long position.| SPDR SP vs. SPDR Gold Shares | SPDR SP vs. Vanguard Real Estate | SPDR SP vs. Vanguard Total Stock | SPDR SP vs. Vanguard FTSE Emerging |
| Invesco CurrencyShares vs. Invesco CurrencyShares British | Invesco CurrencyShares vs. Invesco CurrencyShares Euro |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Other Complementary Tools
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas |