Correlation Between SSgA SPDR and IShares European
Can any of the company-specific risk be diversified away by investing in both SSgA SPDR and IShares European 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 IShares European into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SSgA SPDR ETFs and iShares European Property, you can compare the effects of market volatilities on SSgA SPDR and IShares European 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 IShares European. Check out your portfolio center. Please also check ongoing floating volatility patterns of SSgA SPDR and IShares European.
Diversification Opportunities for SSgA SPDR and IShares European
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SSgA and IShares is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding SSgA SPDR ETFs and iShares European Property in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares European Property 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 ETFs are associated (or correlated) with IShares European. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares European Property has no effect on the direction of SSgA SPDR i.e., SSgA SPDR and IShares European go up and down completely randomly.
Pair Corralation between SSgA SPDR and IShares European
Assuming the 90 days trading horizon SSgA SPDR ETFs is expected to under-perform the IShares European. In addition to that, SSgA SPDR is 1.21 times more volatile than iShares European Property. It trades about -0.02 of its total potential returns per unit of risk. iShares European Property is currently generating about 0.0 per unit of volatility. If you would invest 2,887 in iShares European Property on December 29, 2024 and sell it today you would lose (4.00) from holding iShares European Property or give up 0.14% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
SSgA SPDR ETFs vs. iShares European Property
Performance |
Timeline |
SSgA SPDR ETFs |
iShares European Property |
SSgA SPDR and IShares European Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SSgA SPDR and IShares European
The main advantage of trading using opposite SSgA SPDR and IShares European positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SSgA SPDR position performs unexpectedly, IShares European 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 European will offset losses from the drop in IShares European's long position.SSgA SPDR vs. Vanguard SP 500 | SSgA SPDR vs. SPDR Dow Jones | SSgA SPDR vs. iShares Core MSCI | SSgA SPDR vs. iShares SP 500 |
IShares European vs. iShares MSCI EM | IShares European vs. iShares III Public | IShares European vs. iShares Core MSCI | IShares European vs. iShares France Govt |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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