Correlation Between SPDR MSCI and IShares Euro
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and IShares Euro 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 MSCI and IShares Euro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR MSCI World and iShares Euro Government, you can compare the effects of market volatilities on SPDR MSCI and IShares Euro 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 MSCI with a short position of IShares Euro. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and IShares Euro.
Diversification Opportunities for SPDR MSCI and IShares Euro
-0.33 | Correlation Coefficient |
Very good diversification
The 3 months correlation between SPDR and IShares is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World and iShares Euro Government in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Euro Government and SPDR 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 SPDR MSCI World are associated (or correlated) with IShares Euro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Euro Government has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and IShares Euro go up and down completely randomly.
Pair Corralation between SPDR MSCI and IShares Euro
Assuming the 90 days trading horizon SPDR MSCI World is expected to generate 3.73 times more return on investment than IShares Euro. However, SPDR MSCI is 3.73 times more volatile than iShares Euro Government. It trades about 0.04 of its potential returns per unit of risk. iShares Euro Government is currently generating about 0.11 per unit of risk. If you would invest 5,671 in SPDR MSCI World on August 27, 2024 and sell it today you would earn a total of 231.00 from holding SPDR MSCI World or generate 4.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI World vs. iShares Euro Government
Performance |
| Timeline |
| SPDR MSCI World |
| iShares Euro Government |
SPDR MSCI and IShares Euro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and IShares Euro
The main advantage of trading using opposite SPDR MSCI and IShares Euro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, IShares Euro 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 IShares Euro will offset losses from the drop in IShares Euro's long position.| SPDR MSCI vs. Vanguard SP 500 | SPDR MSCI vs. SPDR Dow Jones | SPDR MSCI vs. iShares SP 500 | SPDR MSCI vs. iShares China CNY |
| IShares Euro vs. Vanguard SP 500 | IShares Euro vs. SPDR Dow Jones | IShares Euro vs. iShares SP 500 | IShares Euro vs. iShares China CNY |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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