Correlation Between SPDR MSCI and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Vanguard FTSE 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 Vanguard FTSE 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 Vanguard FTSE Developed, you can compare the effects of market volatilities on SPDR MSCI and Vanguard FTSE 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 Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Vanguard FTSE.
Diversification Opportunities for SPDR MSCI and Vanguard FTSE
-0.35 | Correlation Coefficient |
Very good diversification
The 3 months correlation between SPDR and Vanguard is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World and Vanguard FTSE Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Developed 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 Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Developed has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Vanguard FTSE go up and down completely randomly.
Pair Corralation between SPDR MSCI and Vanguard FTSE
Assuming the 90 days trading horizon SPDR MSCI World is expected to generate 1.19 times more return on investment than Vanguard FTSE. However, SPDR MSCI is 1.19 times more volatile than Vanguard FTSE Developed. It trades about 0.11 of its potential returns per unit of risk. Vanguard FTSE Developed is currently generating about -0.03 per unit of risk. If you would invest 6,116 in SPDR MSCI World on September 3, 2024 and sell it today you would earn a total of 829.00 from holding SPDR MSCI World or generate 13.55% 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. Vanguard FTSE Developed
Performance |
| Timeline |
| SPDR MSCI World |
| Vanguard FTSE Developed |
SPDR MSCI and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Vanguard FTSE
The main advantage of trading using opposite SPDR MSCI and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| SPDR MSCI vs. Vanguard FTSE Developed | SPDR MSCI vs. HSBC MSCI Japan | SPDR MSCI vs. iShares II Public | SPDR MSCI vs. Hydratec Industries NV |
| Vanguard FTSE vs. HSBC MSCI Japan | Vanguard FTSE vs. iShares II Public | Vanguard FTSE vs. Hydratec Industries NV | Vanguard FTSE vs. VanEck Polkadot ETN |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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