Correlation Between SPDR Barclays and SPDR ICE
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By analyzing existing cross correlation between SPDR Barclays 10 and SPDR ICE BofA, you can compare the effects of market volatilities on SPDR Barclays and SPDR ICE 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 Barclays with a short position of SPDR ICE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and SPDR ICE.
Diversification Opportunities for SPDR Barclays and SPDR ICE
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between SPDR and SPDR is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays 10 and SPDR ICE BofA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR ICE BofA and SPDR Barclays 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 Barclays 10 are associated (or correlated) with SPDR ICE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR ICE BofA has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and SPDR ICE go up and down completely randomly.
Pair Corralation between SPDR Barclays and SPDR ICE
Assuming the 90 days trading horizon SPDR Barclays is expected to generate 1.05 times less return on investment than SPDR ICE. In addition to that, SPDR Barclays is 4.43 times more volatile than SPDR ICE BofA. It trades about 0.02 of its total potential returns per unit of risk. SPDR ICE BofA is currently generating about 0.09 per unit of volatility. If you would invest 2,728 in SPDR ICE BofA on September 1, 2024 and sell it today you would earn a total of 191.00 from holding SPDR ICE BofA or generate 7.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Barclays 10 vs. SPDR ICE BofA
Performance |
| Timeline |
| SPDR Barclays 10 |
| SPDR ICE BofA |
SPDR Barclays and SPDR ICE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and SPDR ICE
The main advantage of trading using opposite SPDR Barclays and SPDR ICE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, SPDR ICE 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 ICE will offset losses from the drop in SPDR ICE's long position.| SPDR Barclays vs. SPDR ICE BofA | SPDR Barclays vs. SPDR SP Utilities | SPDR Barclays vs. SPDR ICE BofA | SPDR Barclays vs. SPDR Barclays 3 5 |
| SPDR ICE vs. Xtrackers Nikkei 225 | SPDR ICE vs. iShares VII PLC | SPDR ICE vs. NMI Holdings | SPDR ICE vs. SIVERS SEMICONDUCTORS AB |
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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