Correlation Analysis Between SPDR Portfolio and iShares iBoxx

This module allows you to analyze existing cross correlation between SPDR Portfolio Interm Term Corp Bd ETF and iShares iBoxx Invmt Grade Corp Bd ETF. 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 Interm Term Cor  vs.  iShares iBoxx Invmt Grade Corp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, SPDR Portfolio is expected to generate 1.8 times less return on investment than iShares iBoxx. But when comparing it to its historical volatility, SPDR Portfolio Interm Term Corp Bd ETF is 1.59 times less risky than iShares iBoxx. It trades about 0.05 of its potential returns per unit of risk. iShares iBoxx Invmt Grade Corp Bd ETF is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  11,428  in iShares iBoxx Invmt Grade Corp Bd ETF on May 18, 2018 and sell it today you would earn a total of  37.00  from holding iShares iBoxx Invmt Grade Corp Bd ETF or generate 0.32% return on investment over 30 days.

Pair Corralation between SPDR Portfolio and iShares iBoxx

0.98
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Interm Term Cor and iShares iBoxx Invmt Grade Corp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Invmt 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 Interm Term Corp Bd ETF 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 Invmt 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 Interm  
3 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR Portfolio Interm Term Corp Bd ETF are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.
iShares iBoxx Invmt  
3 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iShares iBoxx Invmt Grade Corp Bd ETF are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

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