Correlation Between SP 500 and Franklin LibertyShares
Can any of the company-specific risk be diversified away by investing in both SP 500 and Franklin LibertyShares 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 SP 500 and Franklin LibertyShares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP 500 VIX and Franklin LibertyShares ICAV, you can compare the effects of market volatilities on SP 500 and Franklin LibertyShares 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 SP 500 with a short position of Franklin LibertyShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Franklin LibertyShares.
Diversification Opportunities for SP 500 and Franklin LibertyShares
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between VILX and Franklin is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX and Franklin LibertyShares ICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin LibertyShares and SP 500 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 SP 500 VIX are associated (or correlated) with Franklin LibertyShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin LibertyShares has no effect on the direction of SP 500 i.e., SP 500 and Franklin LibertyShares go up and down completely randomly.
Pair Corralation between SP 500 and Franklin LibertyShares
Assuming the 90 days trading horizon SP 500 VIX is expected to under-perform the Franklin LibertyShares. In addition to that, SP 500 is 18.12 times more volatile than Franklin LibertyShares ICAV. It trades about -0.01 of its total potential returns per unit of risk. Franklin LibertyShares ICAV is currently generating about 0.11 per unit of volatility. If you would invest 1,864 in Franklin LibertyShares ICAV on September 3, 2024 and sell it today you would earn a total of 59.00 from holding Franklin LibertyShares ICAV or generate 3.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SP 500 VIX vs. Franklin LibertyShares ICAV
Performance |
| Timeline |
| SP 500 VIX |
| Franklin LibertyShares |
SP 500 and Franklin LibertyShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SP 500 and Franklin LibertyShares
The main advantage of trading using opposite SP 500 and Franklin LibertyShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 position performs unexpectedly, Franklin LibertyShares 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 Franklin LibertyShares will offset losses from the drop in Franklin LibertyShares' long position.| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
| Franklin LibertyShares vs. Franklin LibertyQ Global | Franklin LibertyShares vs. Franklin Libertyshares ICAV | Franklin LibertyShares vs. Franklin FTSE Asia | Franklin LibertyShares vs. Franklin FTSE Brazil |
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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