Correlation Between SPDR SP and Invesco International
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Invesco International 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 Invesco International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP Dividend and Invesco International Dividend, you can compare the effects of market volatilities on SPDR SP and Invesco International 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 Invesco International. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Invesco International.
Diversification Opportunities for SPDR SP and Invesco International
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Invesco is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Dividend and Invesco International Dividend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco International 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 Dividend are associated (or correlated) with Invesco International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco International has no effect on the direction of SPDR SP i.e., SPDR SP and Invesco International go up and down completely randomly.
Pair Corralation between SPDR SP and Invesco International
Considering the 90-day investment horizon SPDR SP Dividend is expected to generate 1.03 times more return on investment than Invesco International. However, SPDR SP is 1.03 times more volatile than Invesco International Dividend. It trades about -0.15 of its potential returns per unit of risk. Invesco International Dividend is currently generating about -0.33 per unit of risk. If you would invest 12,891 in SPDR SP Dividend on January 20, 2024 and sell it today you would lose (326.00) from holding SPDR SP Dividend or give up 2.53% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
SPDR SP Dividend vs. Invesco International Dividend
Performance |
| Timeline |
| SPDR SP Dividend |
| Invesco International |
SPDR SP and Invesco International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Invesco International
The main advantage of trading using opposite SPDR SP and Invesco International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Invesco International 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 Invesco International will offset losses from the drop in Invesco International's long position.| SPDR SP vs. WisdomTree SmallCap Earnings | SPDR SP vs. WisdomTree Earnings 500 | SPDR SP vs. NXG NextGen Infrastructure | SPDR SP vs. WisdomTree SmallCap Dividend |
| Invesco International vs. Invesco FTSE RAFI | Invesco International vs. Invesco FTSE RAFI | Invesco International vs. Invesco FTSE RAFI | Invesco International vs. Invesco FTSE RAFI |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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