Correlation Between IShares ESG and SPDR SP
Can any of the company-specific risk be diversified away by investing in both IShares ESG and SPDR 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 IShares ESG and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ESG MSCI and SPDR SP 500, you can compare the effects of market volatilities on IShares ESG and SPDR 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 IShares ESG with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ESG and SPDR SP.
Diversification Opportunities for IShares ESG and SPDR SP
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and SPDR is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding iShares ESG MSCI and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 and IShares ESG 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 iShares ESG MSCI are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of IShares ESG i.e., IShares ESG and SPDR SP go up and down completely randomly.
Pair Corralation between IShares ESG and SPDR SP
Given the investment horizon of 90 days iShares ESG MSCI is expected to generate 1.13 times more return on investment than SPDR SP. However, IShares ESG is 1.13 times more volatile than SPDR SP 500. It trades about 0.09 of its potential returns per unit of risk. SPDR SP 500 is currently generating about 0.04 per unit of risk. If you would invest 10,477 in iShares ESG MSCI on October 24, 2024 and sell it today you would earn a total of 175.00 from holding iShares ESG MSCI or generate 1.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ESG MSCI vs. SPDR SP 500
Performance |
| Timeline |
| iShares ESG MSCI |
| SPDR SP 500 |
IShares ESG and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ESG and SPDR SP
The main advantage of trading using opposite IShares ESG and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ESG position performs unexpectedly, SPDR 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| IShares ESG vs. Xtrackers MSCI USA | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG Aware | IShares ESG vs. iShares ESG Aware |
| SPDR SP vs. Xtrackers SP 500 | SPDR SP vs. iShares ESG Advanced | SPDR SP vs. SPDR SP 500 | SPDR SP vs. SPDR SP 1500 |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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