Correlation Between SPDR SP and IShares SP
Can any of the company-specific risk be diversified away by investing in both SPDR SP and IShares SP 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 SP 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 SP 100, you can compare the effects of market volatilities on SPDR SP and IShares SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and IShares SP.
Diversification Opportunities for SPDR SP and IShares SP
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and iShares SP 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 100 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP 100 has no effect on the direction of SPDR SP i.e., SPDR SP and IShares SP go up and down completely randomly.
Pair Corralation between SPDR SP and IShares SP
Considering the 90-day investment horizon SPDR SP 500 is expected to generate 0.91 times more return on investment than IShares SP. However, SPDR SP 500 is 1.1 times less risky than IShares SP. It trades about 0.14 of its potential returns per unit of risk. iShares SP 100 is currently generating about 0.1 per unit of risk. If you would invest 58,083 in SPDR SP 500 on August 27, 2024 and sell it today you would earn a total of 1,468 from holding SPDR SP 500 or generate 2.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. iShares SP 100
Performance |
| Timeline |
| SPDR SP 500 |
| iShares SP 100 |
SPDR SP and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and IShares SP
The main advantage of trading using opposite SPDR SP and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, IShares SP 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 SP will offset losses from the drop in IShares SP's long position.| SPDR SP vs. FT Vest Equity | SPDR SP vs. Northern Lights | SPDR SP vs. Dimensional International High | SPDR SP vs. First Trust Exchange Traded |
| IShares SP vs. iShares Russell 1000 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares Russell 3000 | IShares SP vs. iShares SP Mid Cap |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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