Pair Correlation Between SPDR Portfolio and iShares iBoxx

This module allows you to analyze existing cross correlation between SPDR Portfolio Intermediate Term Corporate Bond and iShares iBoxx Invst Grade Crp Bond. You can compare the effects of market volatilities on SPDR Portfolio and iShares iBoxx 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 Portfolio with a short position of iShares iBoxx. See also your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and iShares iBoxx.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 SPDR Portfolio Intermediate Te  vs   iShares iBoxx Invst Grade Crp
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, SPDR Portfolio Intermediate Term Corporate Bond is expected to under-perform the iShares iBoxx. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Portfolio Intermediate Term Corporate Bond is 1.84 times less risky than iShares iBoxx. The etf trades about -0.17 of its potential returns per unit of risk. The iShares iBoxx Invst Grade Crp Bond is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  12,143  in iShares iBoxx Invst Grade Crp Bond on December 18, 2017 and sell it today you would lose (49)  from holding iShares iBoxx Invst Grade Crp Bond or give up 0.4% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between SPDR Portfolio and iShares iBoxx
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Intermediate Te and iShares iBoxx Invst Grade Crp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Invst and SPDR Portfolio 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 Portfolio Intermediate Term Corporate Bond are associated (or correlated) with iShares iBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares iBoxx Invst has no effect on the direction of SPDR Portfolio i.e. SPDR Portfolio and iShares iBoxx go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

SPDR Portfolio Inter

  
0 

Risk-Adjusted Performance

Over the last 30 days SPDR Portfolio Intermediate Term Corporate Bond has generated negative risk-adjusted returns adding no value to investors with long positions.

iShares iBoxx Invst

  
0 

Risk-Adjusted Performance

Over the last 30 days iShares iBoxx Invst Grade Crp Bond has generated negative risk-adjusted returns adding no value to investors with long positions.