Correlation Between SPDR BB and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR BB and SPDR MSCI 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 BB and SPDR MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR BB SB and SPDR MSCI World, you can compare the effects of market volatilities on SPDR BB and SPDR MSCI 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 BB with a short position of SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR BB and SPDR MSCI.
Diversification Opportunities for SPDR BB and SPDR MSCI
Very weak diversification
The 3 months correlation between SPDR and SPDR is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding SPDR BB SB and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World and SPDR BB 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 BB SB are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI World has no effect on the direction of SPDR BB i.e., SPDR BB and SPDR MSCI go up and down completely randomly.
Pair Corralation between SPDR BB and SPDR MSCI
Assuming the 90 days trading horizon SPDR BB SB is expected to generate 0.4 times more return on investment than SPDR MSCI. However, SPDR BB SB is 2.49 times less risky than SPDR MSCI. It trades about 0.05 of its potential returns per unit of risk. SPDR MSCI World is currently generating about -0.02 per unit of risk. If you would invest 2,627 in SPDR BB SB on August 29, 2024 and sell it today you would earn a total of 11.00 from holding SPDR BB SB or generate 0.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR BB SB vs. SPDR MSCI World
Performance |
| Timeline |
| SPDR BB SB |
| SPDR MSCI World |
SPDR BB and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR BB and SPDR MSCI
The main advantage of trading using opposite SPDR BB and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR BB position performs unexpectedly, SPDR MSCI 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 MSCI will offset losses from the drop in SPDR MSCI's long position.| SPDR BB vs. Vanguard SP 500 | SPDR BB vs. SPDR Dow Jones | SPDR BB vs. iShares Core MSCI | SPDR BB vs. iShares SP 500 |
| SPDR MSCI vs. SPDR MSCI World | SPDR MSCI vs. SPDR SP Dividend | SPDR MSCI vs. SPDR SP 500 | SPDR MSCI vs. SPDR BB SB |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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