Correlation Between SSgA SPDR and Amundi MSCI

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

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

Diversification Opportunities for SSgA SPDR and Amundi MSCI

-0.37

Correlation Coefficient

SSgA SPDR  Amundi MSCI

Very good diversification

The 3 months correlation between SSgA and Amundi is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding SSgA SPDR SP and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe and SSgA SPDR 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 SSgA SPDR SP are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI Europe has no effect on the direction of SSgA SPDR i.e., SSgA SPDR and Amundi MSCI go up and down completely randomly.

Pair Corralation between SSgA SPDR and Amundi MSCI

Assuming the 90 days trading horizon SSgA SPDR SP is expected to under-perform the Amundi MSCI. In addition to that, SSgA SPDR is 1.98 times more volatile than Amundi MSCI Europe. It trades about -0.14 of its total potential returns per unit of risk. Amundi MSCI Europe is currently generating about 0.32 per unit of volatility. If you would invest  18,144  in Amundi MSCI Europe on December 20, 2024 and sell it today you would earn a total of  2,116  from holding Amundi MSCI Europe or generate 11.66% return on investment over 90 days.

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

SSgA SPDR SP  vs.  Amundi MSCI Europe

SSgA SPDR SP

Risk-Adjusted Performance

Very Weak

Over the last 90 days SSgA SPDR SP has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Etf's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

Amundi MSCI Europe

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi MSCI Europe are ranked lower than 25 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Amundi MSCI may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with SSgA SPDR and Amundi MSCI

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

The idea behind SSgA SPDR SP and Amundi MSCI Europe 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.