Correlation Between IShares SP and SPDR SP
Can any of the company-specific risk be diversified away by investing in both IShares SP and SPDR SP 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 IShares SP and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SP 500 and SPDR SP Dividend, you can compare the effects of market volatilities on IShares SP and SPDR SP 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 IShares SP with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and SPDR SP.
Diversification Opportunities for IShares SP and SPDR SP
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and SPDR is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP 500 and SPDR SP Dividend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Dividend and IShares 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 iShares SP 500 are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP Dividend has no effect on the direction of IShares SP i.e., IShares SP and SPDR SP go up and down completely randomly.
Pair Corralation between IShares SP and SPDR SP
Considering the 90-day investment horizon iShares SP 500 is expected to under-perform the SPDR SP. But the etf apears to be less risky and, when comparing its historical volatility, iShares SP 500 is 1.03 times less risky than SPDR SP. The etf trades about -0.07 of its potential returns per unit of risk. The SPDR SP Dividend is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 12,823 in SPDR SP Dividend on January 26, 2024 and sell it today you would earn a total of 22.00 from holding SPDR SP Dividend or generate 0.17% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 95.45% |
Values | Daily Returns |
iShares SP 500 vs. SPDR SP Dividend
Performance |
Timeline |
iShares SP 500 |
SPDR SP Dividend |
IShares SP and SPDR SP Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares SP and SPDR SP
The main advantage of trading using opposite IShares SP and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, SPDR SP 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 SPDR SP will offset losses from the drop in SPDR SP's long position.IShares SP vs. Hartford Multifactor Emerging | IShares SP vs. Hartford Multifactor Developed | IShares SP vs. iShares Equity Factor | IShares SP vs. SPDR MSCI USA |
SPDR SP vs. SPDR Russell 1000 | SPDR SP vs. SPDR MSCI USA | SPDR SP vs. SPDR MSCI EAFE | SPDR SP vs. SPDR SSGA Large |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators |