Correlation Between SPDR SP and MFS Active
Can any of the company-specific risk be diversified away by investing in both SPDR SP and MFS Active 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 MFS Active 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 MFS Active Exchange, you can compare the effects of market volatilities on SPDR SP and MFS Active 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 MFS Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and MFS Active.
Diversification Opportunities for SPDR SP and MFS Active
-0.16 | Correlation Coefficient |
Good diversification
The 3 months correlation between SPDR and MFS is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and MFS Active Exchange in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MFS Active Exchange 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 MFS Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MFS Active Exchange has no effect on the direction of SPDR SP i.e., SPDR SP and MFS Active go up and down completely randomly.
Pair Corralation between SPDR SP and MFS Active
Considering the 90-day investment horizon SPDR SP 500 is expected to generate 3.95 times more return on investment than MFS Active. However, SPDR SP is 3.95 times more volatile than MFS Active Exchange. It trades about -0.06 of its potential returns per unit of risk. MFS Active Exchange is currently generating about -0.53 per unit of risk. If you would invest 60,265 in SPDR SP 500 on October 9, 2024 and sell it today you would lose (729.00) from holding SPDR SP 500 or give up 1.21% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.0% |
| Values | Daily Returns |
SPDR SP 500 vs. MFS Active Exchange
Performance |
| Timeline |
| SPDR SP 500 |
| MFS Active Exchange |
SPDR SP and MFS Active Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and MFS Active
The main advantage of trading using opposite SPDR SP and MFS Active positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, MFS Active 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 MFS Active will offset losses from the drop in MFS Active's 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 |
| MFS Active vs. First Trust Exchange Traded | MFS Active vs. Vanguard Intermediate Term Treasury | MFS Active vs. Vanguard Long Term Treasury | MFS Active vs. Vanguard Short Term Treasury |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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