Correlation Between IShares IBoxx and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both IShares IBoxx and SPDR Barclays 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 IShares IBoxx and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares iBoxx Investment and SPDR Barclays Intermediate, you can compare the effects of market volatilities on IShares IBoxx and SPDR Barclays 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 IShares IBoxx with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares IBoxx and SPDR Barclays.
Diversification Opportunities for IShares IBoxx and SPDR Barclays
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and SPDR is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding iShares iBoxx Investment and SPDR Barclays Intermediate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Interm and IShares IBoxx 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 iShares iBoxx Investment are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Interm has no effect on the direction of IShares IBoxx i.e., IShares IBoxx and SPDR Barclays go up and down completely randomly.
Pair Corralation between IShares IBoxx and SPDR Barclays
Considering the 90-day investment horizon IShares IBoxx is expected to generate 1.33 times less return on investment than SPDR Barclays. In addition to that, IShares IBoxx is 1.95 times more volatile than SPDR Barclays Intermediate. It trades about 0.02 of its total potential returns per unit of risk. SPDR Barclays Intermediate is currently generating about 0.06 per unit of volatility. If you would invest 3,088 in SPDR Barclays Intermediate on January 19, 2024 and sell it today you would earn a total of 118.00 from holding SPDR Barclays Intermediate or generate 3.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.56% |
| Values | Daily Returns |
iShares iBoxx Investment vs. SPDR Barclays Intermediate
Performance |
| Timeline |
| iShares iBoxx Investment |
| SPDR Barclays Interm |
IShares IBoxx and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares IBoxx and SPDR Barclays
The main advantage of trading using opposite IShares IBoxx and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares IBoxx position performs unexpectedly, SPDR Barclays 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 Barclays will offset losses from the drop in SPDR Barclays' long position.| IShares IBoxx vs. PrimeEnergy | IShares IBoxx vs. Israel Acquisitions Corp | IShares IBoxx vs. CKX Lands | IShares IBoxx vs. HUMANA INC |
| SPDR Barclays vs. PrimeEnergy | SPDR Barclays vs. Israel Acquisitions Corp | SPDR Barclays vs. CKX Lands | SPDR Barclays vs. HUMANA INC |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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