Correlation Between SPDR Portfolio and IShares IBoxx
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio 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 Portfolio 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 Portfolio High and iShares iBoxx High, 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. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and IShares IBoxx.
Diversification Opportunities for SPDR Portfolio and IShares IBoxx
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SPDR and IShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio High and iShares iBoxx High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx High 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 High 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 High has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and IShares IBoxx go up and down completely randomly.
Pair Corralation between SPDR Portfolio and IShares IBoxx
Given the investment horizon of 90 days SPDR Portfolio High is expected to under-perform the IShares IBoxx. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Portfolio High is 1.02 times less risky than IShares IBoxx. The etf trades about -0.11 of its potential returns per unit of risk. The iShares iBoxx High is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 7,718 in iShares iBoxx High on January 25, 2024 and sell it today you would lose (47.00) from holding iShares iBoxx High or give up 0.61% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio High vs. iShares iBoxx High
Performance |
| Timeline |
| SPDR Portfolio High |
| iShares iBoxx High |
SPDR Portfolio and IShares IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and IShares IBoxx
The main advantage of trading using opposite SPDR Portfolio and IShares IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio 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 Portfolio vs. iShares iBoxx Investment | SPDR Portfolio vs. iShares TIPS Bond | SPDR Portfolio vs. iShares 20 Year | SPDR Portfolio vs. iShares JP Morgan |
| IShares IBoxx vs. iShares iBoxx Investment | IShares IBoxx vs. iShares TIPS Bond | IShares IBoxx vs. iShares 20 Year | IShares IBoxx vs. iShares JP Morgan |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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