Correlation Between SPDR SP and Amundi Treasury
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Amundi Treasury 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 Amundi Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP Energy and Amundi Treasury Bond, you can compare the effects of market volatilities on SPDR SP and Amundi Treasury 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 Amundi Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Amundi Treasury.
Diversification Opportunities for SPDR SP and Amundi Treasury
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between SPDR and Amundi is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Energy and Amundi Treasury Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi Treasury Bond 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 Energy are associated (or correlated) with Amundi Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi Treasury Bond has no effect on the direction of SPDR SP i.e., SPDR SP and Amundi Treasury go up and down completely randomly.
Pair Corralation between SPDR SP and Amundi Treasury
Assuming the 90 days trading horizon SPDR SP Energy is expected to generate 1.59 times more return on investment than Amundi Treasury. However, SPDR SP is 1.59 times more volatile than Amundi Treasury Bond. It trades about 0.08 of its potential returns per unit of risk. Amundi Treasury Bond is currently generating about -0.08 per unit of risk. If you would invest 3,313 in SPDR SP Energy on September 9, 2024 and sell it today you would earn a total of 192.00 from holding SPDR SP Energy or generate 5.8% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
SPDR SP Energy vs. Amundi Treasury Bond
Performance |
Timeline |
SPDR SP Energy |
Amundi Treasury Bond |
SPDR SP and Amundi Treasury Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR SP and Amundi Treasury
The main advantage of trading using opposite SPDR SP and Amundi Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Amundi Treasury 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 Treasury will offset losses from the drop in Amundi Treasury's long position.SPDR SP vs. SPDR Dow Jones | SPDR SP vs. SPDR SP Dividend | SPDR SP vs. SPDR Barclays Euro | SPDR SP vs. SPDR SP Consumer |
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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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