Correlation Between SPDR SP and IShares JP
Can any of the company-specific risk be diversified away by investing in both SPDR SP and IShares JP 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 IShares JP 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 iShares JP Morgan, you can compare the effects of market volatilities on SPDR SP and IShares JP 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 IShares JP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and IShares JP.
Diversification Opportunities for SPDR SP and IShares JP
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and IShares is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and iShares JP Morgan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares JP Morgan 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 IShares JP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares JP Morgan has no effect on the direction of SPDR SP i.e., SPDR SP and IShares JP go up and down completely randomly.
Pair Corralation between SPDR SP and IShares JP
Considering the 90-day investment horizon SPDR SP is expected to generate 1.57 times less return on investment than IShares JP. In addition to that, SPDR SP is 1.4 times more volatile than iShares JP Morgan. It trades about 0.15 of its total potential returns per unit of risk. iShares JP Morgan is currently generating about 0.33 per unit of volatility. If you would invest 3,603 in iShares JP Morgan on November 18, 2024 and sell it today you would earn a total of 117.00 from holding iShares JP Morgan or generate 3.25% 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. iShares JP Morgan
Performance |
| Timeline |
| SPDR SP 500 |
| iShares JP Morgan |
SPDR SP and IShares JP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and IShares JP
The main advantage of trading using opposite SPDR SP and IShares JP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, IShares JP 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 IShares JP will offset losses from the drop in IShares JP's long position.| SPDR SP vs. FT Vest Equity | SPDR SP vs. Zillow Group Class | SPDR SP vs. Northern Lights | SPDR SP vs. VanEck Vectors Moodys |
| IShares JP vs. SPDR Bloomberg Emerging | IShares JP vs. iShares International Treasury | IShares JP vs. iShares JP Morgan | IShares JP vs. iShares Agency Bond |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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