Correlation Between Vanguard MSCI and SPDR SPASX
Can any of the company-specific risk be diversified away by investing in both Vanguard MSCI and SPDR SPASX 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 Vanguard MSCI and SPDR SPASX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard MSCI International and SPDR SPASX 200, you can compare the effects of market volatilities on Vanguard MSCI and SPDR SPASX 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 Vanguard MSCI with a short position of SPDR SPASX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard MSCI and SPDR SPASX.
Diversification Opportunities for Vanguard MSCI and SPDR SPASX
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and SPDR is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard MSCI International and SPDR SPASX 200 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SPASX 200 and Vanguard MSCI 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 Vanguard MSCI International are associated (or correlated) with SPDR SPASX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SPASX 200 has no effect on the direction of Vanguard MSCI i.e., Vanguard MSCI and SPDR SPASX go up and down completely randomly.
Pair Corralation between Vanguard MSCI and SPDR SPASX
Assuming the 90 days trading horizon Vanguard MSCI is expected to generate 1.69 times less return on investment than SPDR SPASX. But when comparing it to its historical volatility, Vanguard MSCI International is 1.36 times less risky than SPDR SPASX. It trades about 0.24 of its potential returns per unit of risk. SPDR SPASX 200 is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 2,784 in SPDR SPASX 200 on September 1, 2024 and sell it today you would earn a total of 189.00 from holding SPDR SPASX 200 or generate 6.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard MSCI International vs. SPDR SPASX 200
Performance |
| Timeline |
| Vanguard MSCI Intern |
| SPDR SPASX 200 |
Vanguard MSCI and SPDR SPASX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard MSCI and SPDR SPASX
The main advantage of trading using opposite Vanguard MSCI and SPDR SPASX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard MSCI position performs unexpectedly, SPDR SPASX 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 SPASX will offset losses from the drop in SPDR SPASX's long position.| Vanguard MSCI vs. Vanguard Global Minimum | Vanguard MSCI vs. Vanguard Global Aggregate | Vanguard MSCI vs. Vanguard Australian Fixed | Vanguard MSCI vs. Vanguard Global Infrastructure |
| SPDR SPASX vs. ETFS Morningstar Global | SPDR SPASX vs. BetaShares Geared Equity | SPDR SPASX vs. Beta Shares SPASX | SPDR SPASX vs. SPDR SP 500 |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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