Correlation Between SPDR SSgA and Alpha Architect
Can any of the company-specific risk be diversified away by investing in both SPDR SSgA and Alpha Architect 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 SSgA and Alpha Architect into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SSgA Global and Alpha Architect Gdsdn, you can compare the effects of market volatilities on SPDR SSgA and Alpha Architect 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 SSgA with a short position of Alpha Architect. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SSgA and Alpha Architect.
Diversification Opportunities for SPDR SSgA and Alpha Architect
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Alpha is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SSgA Global and Alpha Architect Gdsdn in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alpha Architect Gdsdn and SPDR SSgA 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 SSgA Global are associated (or correlated) with Alpha Architect. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alpha Architect Gdsdn has no effect on the direction of SPDR SSgA i.e., SPDR SSgA and Alpha Architect go up and down completely randomly.
Pair Corralation between SPDR SSgA and Alpha Architect
Considering the 90-day investment horizon SPDR SSgA Global is expected to under-perform the Alpha Architect. But the etf apears to be less risky and, when comparing its historical volatility, SPDR SSgA Global is 1.11 times less risky than Alpha Architect. The etf trades about -0.28 of its potential returns per unit of risk. The Alpha Architect Gdsdn is currently generating about -0.22 of returns per unit of risk over similar time horizon. If you would invest 3,099 in Alpha Architect Gdsdn on January 20, 2024 and sell it today you would lose (73.00) from holding Alpha Architect Gdsdn or give up 2.36% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 95.45% |
Values | Daily Returns |
SPDR SSgA Global vs. Alpha Architect Gdsdn
Performance |
Timeline |
SPDR SSgA Global |
Alpha Architect Gdsdn |
SPDR SSgA and Alpha Architect Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR SSgA and Alpha Architect
The main advantage of trading using opposite SPDR SSgA and Alpha Architect positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SSgA position performs unexpectedly, Alpha Architect 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 Alpha Architect will offset losses from the drop in Alpha Architect's long position.SPDR SSgA vs. First Trust BuyWrite | SPDR SSgA vs. First Trust Emerging | SPDR SSgA vs. First Trust SSI | SPDR SSgA vs. First Trust Alternative |
Alpha Architect vs. Bionik Laboratories Corp | Alpha Architect vs. Mobivity Holdings | Alpha Architect vs. Rafina Innovations | Alpha Architect vs. Magellan Gold Corp |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
Other Complementary Tools
My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets |