Correlation Between SPDR SP and Avantis Small
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Avantis Small 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 SP and Avantis Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP Kensho and Avantis Small Cap, you can compare the effects of market volatilities on SPDR SP and Avantis Small 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 SP with a short position of Avantis Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Avantis Small.
Diversification Opportunities for SPDR SP and Avantis Small
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Avantis is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Kensho and Avantis Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Avantis Small Cap and SPDR SP 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 SP Kensho are associated (or correlated) with Avantis Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Avantis Small Cap has no effect on the direction of SPDR SP i.e., SPDR SP and Avantis Small go up and down completely randomly.
Pair Corralation between SPDR SP and Avantis Small
Given the investment horizon of 90 days SPDR SP Kensho is expected to generate 0.91 times more return on investment than Avantis Small. However, SPDR SP Kensho is 1.1 times less risky than Avantis Small. It trades about 0.12 of its potential returns per unit of risk. Avantis Small Cap is currently generating about 0.02 per unit of risk. If you would invest 6,092 in SPDR SP Kensho on September 24, 2024 and sell it today you would earn a total of 614.00 from holding SPDR SP Kensho or generate 10.08% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
SPDR SP Kensho vs. Avantis Small Cap
Performance |
Timeline |
SPDR SP Kensho |
Avantis Small Cap |
SPDR SP and Avantis Small Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR SP and Avantis Small
The main advantage of trading using opposite SPDR SP and Avantis Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Avantis Small 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 Avantis Small will offset losses from the drop in Avantis Small's long position.SPDR SP vs. SPDR SP Kensho | SPDR SP vs. SPDR SP Kensho | SPDR SP vs. SPDR Kensho New | SPDR SP vs. SPDR Kensho Clean |
Avantis Small vs. FT Vest Equity | Avantis Small vs. Northern Lights | Avantis Small vs. Dimensional International High | Avantis Small vs. JPMorgan Fundamental Data |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Other Complementary Tools
Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
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 | |
Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance |