Correlation Between SPDR Portfolio and PIMCO 1
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and PIMCO 1 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 PIMCO 1 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio TIPS and PIMCO 1 5 Year, you can compare the effects of market volatilities on SPDR Portfolio and PIMCO 1 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 PIMCO 1. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and PIMCO 1.
Diversification Opportunities for SPDR Portfolio and PIMCO 1
0.42 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between SPDR and PIMCO is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio TIPS and PIMCO 1 5 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO 1 5 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 TIPS are associated (or correlated) with PIMCO 1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO 1 5 has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and PIMCO 1 go up and down completely randomly.
Pair Corralation between SPDR Portfolio and PIMCO 1
Given the investment horizon of 90 days SPDR Portfolio TIPS is expected to under-perform the PIMCO 1. In addition to that, SPDR Portfolio is 2.2 times more volatile than PIMCO 1 5 Year. It trades about -0.19 of its total potential returns per unit of risk. PIMCO 1 5 Year is currently generating about -0.03 per unit of volatility. If you would invest 5,135 in PIMCO 1 5 Year on January 26, 2024 and sell it today you would lose (5.00) from holding PIMCO 1 5 Year or give up 0.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio TIPS vs. PIMCO 1 5 Year
Performance |
| Timeline |
| SPDR Portfolio TIPS |
| PIMCO 1 5 |
SPDR Portfolio and PIMCO 1 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and PIMCO 1
The main advantage of trading using opposite SPDR Portfolio and PIMCO 1 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, PIMCO 1 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 PIMCO 1 will offset losses from the drop in PIMCO 1's long position.| SPDR Portfolio vs. SPDR Bloomberg 1 10 | SPDR Portfolio vs. iShares 0 5 Year | SPDR Portfolio vs. Schwab TIPS ETF | SPDR Portfolio vs. PIMCO 15 Year |
| PIMCO 1 vs. PIMCO Broad TIPS | PIMCO 1 vs. PIMCO 15 Year | PIMCO 1 vs. SPDR FTSE International | PIMCO 1 vs. FlexShares iBoxx 3 Year |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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