Correlation Between SPDR FTSE and IShares International
Can any of the company-specific risk be diversified away by investing in both SPDR FTSE and IShares International 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 FTSE and IShares International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR FTSE International and iShares International Treasury, you can compare the effects of market volatilities on SPDR FTSE and IShares International 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 FTSE with a short position of IShares International. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR FTSE and IShares International.
Diversification Opportunities for SPDR FTSE and IShares International
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding SPDR FTSE International and iShares International Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares International and SPDR FTSE 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 FTSE International are associated (or correlated) with IShares International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares International has no effect on the direction of SPDR FTSE i.e., SPDR FTSE and IShares International go up and down completely randomly.
Pair Corralation between SPDR FTSE and IShares International
Considering the 90-day investment horizon SPDR FTSE International is expected to under-perform the IShares International. But the etf apears to be less risky and, when comparing its historical volatility, SPDR FTSE International is 1.19 times less risky than IShares International. The etf trades about -0.21 of its potential returns per unit of risk. The iShares International Treasury is currently generating about -0.17 of returns per unit of risk over similar time horizon. If you would invest 4,016 in iShares International Treasury on August 26, 2024 and sell it today you would lose (96.00) from holding iShares International Treasury or give up 2.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR FTSE International vs. iShares International Treasury
Performance |
| Timeline |
| SPDR FTSE International |
| iShares International |
SPDR FTSE and IShares International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR FTSE and IShares International
The main advantage of trading using opposite SPDR FTSE and IShares International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR FTSE position performs unexpectedly, IShares International 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 International will offset losses from the drop in IShares International's long position.| SPDR FTSE vs. SPDR Bloomberg International | SPDR FTSE vs. SPDR Bloomberg Short | SPDR FTSE vs. VanEck Green Bond | SPDR FTSE vs. iShares 1 3 Year |
| IShares International vs. SPDR Bloomberg International | IShares International vs. SPDR FTSE International | IShares International vs. SPDR Bloomberg Short | IShares International vs. VanEck Green Bond |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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