Correlation Between SPDR SP and IShares Global
Can any of the company-specific risk be diversified away by investing in both SPDR SP and IShares Global 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 SP and IShares Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP 500 and iShares Global 100, you can compare the effects of market volatilities on SPDR SP and IShares Global 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 SP with a short position of IShares Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and IShares Global.
Diversification Opportunities for SPDR SP and IShares Global
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and IShares is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and iShares Global 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Global 100 and SPDR SP 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 SP 500 are associated (or correlated) with IShares Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Global 100 has no effect on the direction of SPDR SP i.e., SPDR SP and IShares Global go up and down completely randomly.
Pair Corralation between SPDR SP and IShares Global
Given the investment horizon of 90 days SPDR SP is expected to generate 1.07 times less return on investment than IShares Global. But when comparing it to its historical volatility, SPDR SP 500 is 1.03 times less risky than IShares Global. It trades about 0.09 of its potential returns per unit of risk. iShares Global 100 is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 9,825 in iShares Global 100 on September 25, 2024 and sell it today you would earn a total of 486.00 from holding iShares Global 100 or generate 4.95% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 98.44% |
Values | Daily Returns |
SPDR SP 500 vs. iShares Global 100
Performance |
Timeline |
SPDR SP 500 |
iShares Global 100 |
SPDR SP and IShares Global Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR SP and IShares Global
The main advantage of trading using opposite SPDR SP and IShares Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, IShares Global 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 Global will offset losses from the drop in IShares Global's long position.SPDR SP vs. SPDR SSGA Gender | SPDR SP vs. iShares MSCI ACWI | SPDR SP vs. iShares MSCI KLD | SPDR SP vs. iShares MSCI USA |
IShares Global vs. iShares Europe ETF | IShares Global vs. iShares Global Financials | IShares Global vs. iShares Global Healthcare | IShares Global vs. iShares Global Comm |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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