Correlation Between IShares II and SSgA SPDR
Can any of the company-specific risk be diversified away by investing in both IShares II and SSgA SPDR 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 II and SSgA SPDR into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares II Public and SSgA SPDR ETFs, you can compare the effects of market volatilities on IShares II and SSgA SPDR 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 II with a short position of SSgA SPDR. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares II and SSgA SPDR.
Diversification Opportunities for IShares II and SSgA SPDR
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between IShares and SSgA is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding iShares II Public and SSgA SPDR ETFs in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SSgA SPDR ETFs and IShares II 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 II Public are associated (or correlated) with SSgA SPDR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SSgA SPDR ETFs has no effect on the direction of IShares II i.e., IShares II and SSgA SPDR go up and down completely randomly.
Pair Corralation between IShares II and SSgA SPDR
Assuming the 90 days trading horizon iShares II Public is expected to under-perform the SSgA SPDR. But the etf apears to be less risky and, when comparing its historical volatility, iShares II Public is 1.59 times less risky than SSgA SPDR. The etf trades about -0.02 of its potential returns per unit of risk. The SSgA SPDR ETFs is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 3,035 in SSgA SPDR ETFs on September 25, 2024 and sell it today you would earn a total of 65.00 from holding SSgA SPDR ETFs or generate 2.14% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
iShares II Public vs. SSgA SPDR ETFs
Performance |
Timeline |
iShares II Public |
SSgA SPDR ETFs |
IShares II and SSgA SPDR Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares II and SSgA SPDR
The main advantage of trading using opposite IShares II and SSgA SPDR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares II position performs unexpectedly, SSgA SPDR 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 SSgA SPDR will offset losses from the drop in SSgA SPDR's long position.IShares II vs. iShares Core MSCI | IShares II vs. iShares Core MSCI | IShares II vs. iShares MSCI World | IShares II vs. iShares MSCI EM |
SSgA SPDR vs. iShares Euro Dividend | SSgA SPDR vs. iShares II Public | SSgA SPDR vs. Vanguard USD Treasury | SSgA SPDR vs. VanEck Global Real |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Other Complementary Tools
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
Bonds Directory Find actively traded corporate debentures issued by US companies |