This module allows you to analyze existing cross correlation between SPDR SP 500 ETF and iShares Russell 1000. You can compare the effects of market volatilities on SPDR SP and iShares Russell 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 iShares Russell. See also your portfolio center
. Please also check ongoing floating volatility patterns of SPDR SP
and iShares Russell
SPDR SP 500 ETF vs iShares Russell 1000
Considering 30-days investment horizon, SPDR SP 500 ETF is expected to generate 1.03 times more return on investment than iShares Russell. However, SPDR SP is 1.03 times more volatile than iShares Russell 1000. It trades about -0.09 of its potential returns per unit of risk. iShares Russell 1000 is currently generating about -0.11 per unit of risk. If you would invest 28,269 in SPDR SP 500 ETF on January 21, 2018 and sell it today you would lose (935.00) from holding SPDR SP 500 ETF or give up 3.31% of portfolio value over 30 days.
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No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 ETF and iShares Russell 1000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 1000 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 500 ETF are associated (or correlated) with iShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 1000 has no effect on the direction of SPDR SP i.e. SPDR SP and iShares Russell go up and down completely randomly.
Over the last 30 days SPDR SP 500 ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days iShares Russell 1000 has generated negative risk-adjusted returns adding no value to investors with long positions.