Correlation Between SPDR Barclays and IShares IBoxx
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and IShares IBoxx 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 Barclays and IShares IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays Long and iShares iBoxx Investment, you can compare the effects of market volatilities on SPDR Barclays 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 Barclays with a short position of IShares IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and IShares IBoxx.
Diversification Opportunities for SPDR Barclays and IShares IBoxx
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and IShares is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Long and iShares iBoxx Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Investment and SPDR Barclays 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 Barclays Long 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 Investment has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and IShares IBoxx go up and down completely randomly.
Pair Corralation between SPDR Barclays and IShares IBoxx
Given the investment horizon of 90 days SPDR Barclays Long is expected to under-perform the IShares IBoxx. In addition to that, SPDR Barclays is 1.36 times more volatile than iShares iBoxx Investment. It trades about -0.2 of its total potential returns per unit of risk. iShares iBoxx Investment is currently generating about -0.18 per unit of volatility. If you would invest 10,722 in iShares iBoxx Investment on January 17, 2024 and sell it today you would lose (233.00) from holding iShares iBoxx Investment or give up 2.17% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR Barclays Long vs. iShares iBoxx Investment
Performance |
| Timeline |
| SPDR Barclays Long |
| iShares iBoxx Investment |
SPDR Barclays and IShares IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and IShares IBoxx
The main advantage of trading using opposite SPDR Barclays and IShares IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, IShares IBoxx 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 IShares IBoxx will offset losses from the drop in IShares IBoxx's long position.| SPDR Barclays vs. iShares Core 1 5 | SPDR Barclays vs. iShares Agency Bond | SPDR Barclays vs. iShares Intermediate GovernmentCredit | SPDR Barclays vs. iShares GNMA Bond |
| IShares IBoxx vs. Fidelity Limited Term | IShares IBoxx vs. Fidelity Total Bond | IShares IBoxx vs. Fidelity High Yield | IShares IBoxx vs. Fidelity Low Volatility |
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 Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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