Correlation Between SPDR SSGA and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR SSGA and IShares MSCI 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 SSGA and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SSGA Sector and iShares MSCI USA, you can compare the effects of market volatilities on SPDR SSGA and IShares MSCI 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 SSGA with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SSGA and IShares MSCI.
Diversification Opportunities for SPDR SSGA and IShares MSCI
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SSGA Sector and iShares MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI USA and SPDR SSGA 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 SSGA Sector are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI USA has no effect on the direction of SPDR SSGA i.e., SPDR SSGA and IShares MSCI go up and down completely randomly.
Pair Corralation between SPDR SSGA and IShares MSCI
Given the investment horizon of 90 days SPDR SSGA is expected to generate 1.08 times less return on investment than IShares MSCI. But when comparing it to its historical volatility, SPDR SSGA Sector is 1.39 times less risky than IShares MSCI. It trades about 0.09 of its potential returns per unit of risk. iShares MSCI USA is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 5,285 in iShares MSCI USA on September 1, 2024 and sell it today you would earn a total of 2,083 from holding iShares MSCI USA or generate 39.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SSGA Sector vs. iShares MSCI USA
Performance |
| Timeline |
| SPDR SSGA Sector |
| iShares MSCI USA |
SPDR SSGA and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SSGA and IShares MSCI
The main advantage of trading using opposite SPDR SSGA and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SSGA position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| SPDR SSGA vs. SPDR SSGA Fixed | SPDR SSGA vs. BlackRock Equity Factor | SPDR SSGA vs. SPDR FactSet Innovative | SPDR SSGA vs. SPDR SP Telecom |
| IShares MSCI vs. iShares Equity Factor | IShares MSCI vs. iShares MSCI Emerging | IShares MSCI vs. iShares Edge MSCI | IShares MSCI vs. iShares MSCI USA |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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