Correlation Between IShares MSCI and SPDR SP
Can any of the company-specific risk be diversified away by investing in both IShares MSCI and SPDR SP 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 MSCI and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares MSCI Global and SPDR SP 500, you can compare the effects of market volatilities on IShares MSCI and SPDR SP 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 MSCI with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares MSCI and SPDR SP.
Diversification Opportunities for IShares MSCI and SPDR SP
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between IShares and SPDR is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Global and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 and IShares MSCI 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 MSCI Global are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of IShares MSCI i.e., IShares MSCI and SPDR SP go up and down completely randomly.
Pair Corralation between IShares MSCI and SPDR SP
Considering the 90-day investment horizon iShares MSCI Global is expected to under-perform the SPDR SP. In addition to that, IShares MSCI is 1.22 times more volatile than SPDR SP 500. It trades about -0.21 of its total potential returns per unit of risk. SPDR SP 500 is currently generating about -0.11 per unit of volatility. If you would invest 51,286 in SPDR SP 500 on January 17, 2024 and sell it today you would lose (841.00) from holding SPDR SP 500 or give up 1.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares MSCI Global vs. SPDR SP 500
Performance |
| Timeline |
| iShares MSCI Global |
| SPDR SP 500 |
IShares MSCI and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares MSCI and SPDR SP
The main advantage of trading using opposite IShares MSCI and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares MSCI position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.| IShares MSCI vs. VanEck Morningstar International | IShares MSCI vs. VanEck ETF Trust | IShares MSCI vs. AGFiQ Global Infrastructure | IShares MSCI vs. VanEck ETF Trust |
| SPDR SP vs. Natixis ETF Trust | SPDR SP vs. HUMANA INC | SPDR SP vs. Sparta Capital | SPDR SP vs. T Rowe Price |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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