Correlation Between SPDR Kensho and SPDR STOXX
Can any of the company-specific risk be diversified away by investing in both SPDR Kensho and SPDR STOXX 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 Kensho and SPDR STOXX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Kensho Intelligent and SPDR STOXX Europe, you can compare the effects of market volatilities on SPDR Kensho and SPDR STOXX 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 Kensho with a short position of SPDR STOXX. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Kensho and SPDR STOXX.
Diversification Opportunities for SPDR Kensho and SPDR STOXX
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between SPDR and SPDR is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Kensho Intelligent and SPDR STOXX Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR STOXX Europe and SPDR Kensho 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 Kensho Intelligent are associated (or correlated) with SPDR STOXX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR STOXX Europe has no effect on the direction of SPDR Kensho i.e., SPDR Kensho and SPDR STOXX go up and down completely randomly.
Pair Corralation between SPDR Kensho and SPDR STOXX
Given the investment horizon of 90 days SPDR Kensho Intelligent is expected to under-perform the SPDR STOXX. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Kensho Intelligent is 68.14 times less risky than SPDR STOXX. The etf trades about -0.14 of its potential returns per unit of risk. The SPDR STOXX Europe is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 4,488 in SPDR STOXX Europe on January 11, 2025 and sell it today you would earn a total of 75,512 from holding SPDR STOXX Europe or generate 1682.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
SPDR Kensho Intelligent vs. SPDR STOXX Europe
Performance |
| Timeline |
| SPDR Kensho Intelligent |
| SPDR STOXX Europe |
SPDR Kensho and SPDR STOXX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Kensho and SPDR STOXX
The main advantage of trading using opposite SPDR Kensho and SPDR STOXX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Kensho position performs unexpectedly, SPDR STOXX 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 STOXX will offset losses from the drop in SPDR STOXX's long position.| SPDR Kensho vs. FlexShares STOXX Global | SPDR Kensho vs. SPDR SP Global | SPDR Kensho vs. iShares Infrastructure ETF | SPDR Kensho vs. iShares Global Infrastructure |
| SPDR STOXX vs. OShares Small Cap Quality | SPDR STOXX vs. OShares Quality Dividend | SPDR STOXX vs. OShares Global Internet | SPDR STOXX vs. Virtus ETF Trust |
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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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