Correlation Between SPDR Gold and Xtrackers MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR Gold and Xtrackers MSCI 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 Gold and Xtrackers MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Gold Shares and Xtrackers MSCI, you can compare the effects of market volatilities on SPDR Gold and Xtrackers MSCI 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 Gold with a short position of Xtrackers MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Gold and Xtrackers MSCI.
Diversification Opportunities for SPDR Gold and Xtrackers MSCI
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Xtrackers is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Gold Shares and Xtrackers MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers MSCI and SPDR Gold 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 Gold Shares are associated (or correlated) with Xtrackers MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers MSCI has no effect on the direction of SPDR Gold i.e., SPDR Gold and Xtrackers MSCI go up and down completely randomly.
Pair Corralation between SPDR Gold and Xtrackers MSCI
Assuming the 90 days trading horizon SPDR Gold Shares is expected to generate 1.26 times more return on investment than Xtrackers MSCI. However, SPDR Gold is 1.26 times more volatile than Xtrackers MSCI. It trades about 0.09 of its potential returns per unit of risk. Xtrackers MSCI is currently generating about 0.08 per unit of risk. If you would invest 21,971 in SPDR Gold Shares on September 25, 2024 and sell it today you would earn a total of 1,113 from holding SPDR Gold Shares or generate 5.07% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 96.61% |
Values | Daily Returns |
SPDR Gold Shares vs. Xtrackers MSCI
Performance |
Timeline |
SPDR Gold Shares |
Xtrackers MSCI |
SPDR Gold and Xtrackers MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR Gold and Xtrackers MSCI
The main advantage of trading using opposite SPDR Gold and Xtrackers MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Gold position performs unexpectedly, Xtrackers MSCI 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 Xtrackers MSCI will offset losses from the drop in Xtrackers MSCI's long position.SPDR Gold vs. UBS Fund Solutions | SPDR Gold vs. Xtrackers II | SPDR Gold vs. Xtrackers Nikkei 225 | SPDR Gold vs. iShares VII PLC |
Xtrackers MSCI vs. UBS Fund Solutions | Xtrackers MSCI vs. Xtrackers II | Xtrackers MSCI vs. Xtrackers Nikkei 225 | Xtrackers MSCI vs. iShares VII PLC |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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