Correlation Between SPDR Portfolio and IShares SP
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio 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 Portfolio 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 Portfolio SP and iShares SP 500, you can compare the effects of market volatilities on SPDR Portfolio 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 Portfolio with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and IShares SP.
Diversification Opportunities for SPDR Portfolio and IShares SP
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and iShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP 500 and SPDR Portfolio 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 Portfolio SP 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 500 has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and IShares SP go up and down completely randomly.
Pair Corralation between SPDR Portfolio and IShares SP
Given the investment horizon of 90 days SPDR Portfolio SP is expected to generate 0.84 times more return on investment than IShares SP. However, SPDR Portfolio SP is 1.2 times less risky than IShares SP. It trades about -0.22 of its potential returns per unit of risk. iShares SP 500 is currently generating about -0.23 per unit of risk. If you would invest 5,376 in SPDR Portfolio SP on September 18, 2024 and sell it today you would lose (122.00) from holding SPDR Portfolio SP or give up 2.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio SP vs. iShares SP 500
Performance |
| Timeline |
| SPDR Portfolio SP |
| iShares SP 500 |
SPDR Portfolio and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and IShares SP
The main advantage of trading using opposite SPDR Portfolio and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio 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 Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR SP 600 |
| IShares SP vs. iShares SP 500 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares SP Small Cap | 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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