Correlation Between SPDR Portfolio and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and IShares MSCI 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 Portfolio and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio MSCI and iShares MSCI ACWI, you can compare the effects of market volatilities on SPDR Portfolio and IShares MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and IShares MSCI.
Diversification Opportunities for SPDR Portfolio and IShares MSCI
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio MSCI and iShares MSCI ACWI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI ACWI 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 MSCI are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI ACWI has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and IShares MSCI go up and down completely randomly.
Pair Corralation between SPDR Portfolio and IShares MSCI
Given the investment horizon of 90 days SPDR Portfolio MSCI is expected to generate 0.93 times more return on investment than IShares MSCI. However, SPDR Portfolio MSCI is 1.08 times less risky than IShares MSCI. It trades about -0.14 of its potential returns per unit of risk. iShares MSCI ACWI is currently generating about -0.17 per unit of risk. If you would invest 5,919 in SPDR Portfolio MSCI on January 26, 2024 and sell it today you would lose (130.00) from holding SPDR Portfolio MSCI or give up 2.2% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
SPDR Portfolio MSCI vs. iShares MSCI ACWI
Performance |
| Timeline |
| SPDR Portfolio MSCI |
| iShares MSCI ACWI |
SPDR Portfolio and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and IShares MSCI
The main advantage of trading using opposite SPDR Portfolio and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| SPDR Portfolio vs. SPDR MSCI EAFE | SPDR Portfolio vs. SPDR MSCI Emerging | SPDR Portfolio vs. SPDR MSCI USA | SPDR Portfolio vs. SPDR SP 1500 |
| IShares MSCI vs. SPDR MSCI EAFE | IShares MSCI vs. SPDR MSCI Emerging | IShares MSCI vs. SPDR MSCI USA | IShares MSCI vs. SPDR SP 1500 |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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