Correlation Between DoubleLine Shiller and SPDR SP

Can any of the company-specific risk be diversified away by investing in both DoubleLine Shiller and SPDR SP 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 DoubleLine Shiller and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between DoubleLine Shiller CAPE and SPDR SP 500, you can compare the effects of market volatilities on DoubleLine Shiller and SPDR SP 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 DoubleLine Shiller with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of DoubleLine Shiller and SPDR SP.

Diversification Opportunities for DoubleLine Shiller and SPDR SP

0.85

Correlation Coefficient

DoubleLine Shiller  SPDR SP

Very poor diversification

The 3 months correlation between DoubleLine and SPDR is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding DoubleLine Shiller CAPE and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 and DoubleLine Shiller 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 DoubleLine Shiller CAPE are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of DoubleLine Shiller i.e., DoubleLine Shiller and SPDR SP go up and down completely randomly.

Pair Corralation between DoubleLine Shiller and SPDR SP

Given the investment horizon of 90 days DoubleLine Shiller CAPE is expected to generate 0.89 times more return on investment than SPDR SP. However, DoubleLine Shiller CAPE is 1.12 times less risky than SPDR SP. It trades about 0.11 of its potential returns per unit of risk. SPDR SP 500 is currently generating about 0.09 per unit of risk. If you would invest  2,738  in DoubleLine Shiller CAPE on September 29, 2024 and sell it today you would earn a total of  301.00  from holding DoubleLine Shiller CAPE or generate 10.99% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

DoubleLine Shiller CAPE  vs.  SPDR SP 500

DoubleLine Shiller CAPE

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, DoubleLine Shiller is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

SPDR SP 500

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong basic indicators, SPDR SP is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with DoubleLine Shiller and SPDR SP

The main advantage of trading using opposite DoubleLine Shiller and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DoubleLine Shiller position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.

The idea behind DoubleLine Shiller CAPE and SPDR SP 500 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.