Correlation Between SPDR ICE and SPDR Barclays
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By analyzing existing cross correlation between SPDR ICE BofA and SPDR Barclays 3 5, you can compare the effects of market volatilities on SPDR ICE and SPDR Barclays 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 ICE with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR ICE and SPDR Barclays.
Diversification Opportunities for SPDR ICE and SPDR Barclays
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between SPDR and SPDR is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding SPDR ICE BofA and SPDR Barclays 3 5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays 3 and SPDR ICE 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 ICE BofA are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays 3 has no effect on the direction of SPDR ICE i.e., SPDR ICE and SPDR Barclays go up and down completely randomly.
Pair Corralation between SPDR ICE and SPDR Barclays
Assuming the 90 days trading horizon SPDR ICE is expected to generate 33.41 times less return on investment than SPDR Barclays. But when comparing it to its historical volatility, SPDR ICE BofA is 2.37 times less risky than SPDR Barclays. It trades about 0.01 of its potential returns per unit of risk. SPDR Barclays 3 5 is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 2,568 in SPDR Barclays 3 5 on September 13, 2024 and sell it today you would earn a total of 94.00 from holding SPDR Barclays 3 5 or generate 3.66% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
SPDR ICE BofA vs. SPDR Barclays 3 5
Performance |
Timeline |
SPDR ICE BofA |
SPDR Barclays 3 |
SPDR ICE and SPDR Barclays Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SPDR ICE and SPDR Barclays
The main advantage of trading using opposite SPDR ICE and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR ICE position performs unexpectedly, SPDR Barclays 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 SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.SPDR ICE vs. SPDR Barclays 10 | SPDR ICE vs. SPDR ICE BofA | SPDR ICE vs. SPDR SP Utilities | SPDR ICE vs. SPDR Barclays 3 5 |
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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