Correlation Between SPDR Barclays and IShares IBoxx
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and IShares IBoxx 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 Barclays and IShares IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays Intermediate and iShares iBoxx Investment, you can compare the effects of market volatilities on SPDR Barclays and IShares IBoxx 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 Barclays with a short position of IShares IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and IShares IBoxx.
Diversification Opportunities for SPDR Barclays and IShares IBoxx
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and IShares is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Intermediate and iShares iBoxx Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares iBoxx Investment and SPDR Barclays 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 Barclays Intermediate are associated (or correlated) with IShares IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares iBoxx Investment has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and IShares IBoxx go up and down completely randomly.
Pair Corralation between SPDR Barclays and IShares IBoxx
Given the investment horizon of 90 days SPDR Barclays Intermediate is expected to generate 0.53 times more return on investment than IShares IBoxx. However, SPDR Barclays Intermediate is 1.87 times less risky than IShares IBoxx. It trades about 0.04 of its potential returns per unit of risk. iShares iBoxx Investment is currently generating about 0.01 per unit of risk. If you would invest 3,030 in SPDR Barclays Intermediate on January 19, 2024 and sell it today you would earn a total of 176.94 from holding SPDR Barclays Intermediate or generate 5.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.78% |
| Values | Daily Returns |
SPDR Barclays Intermediate vs. iShares iBoxx Investment
Performance |
| Timeline |
| SPDR Barclays Interm |
| iShares iBoxx Investment |
SPDR Barclays and IShares IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and IShares IBoxx
The main advantage of trading using opposite SPDR Barclays and IShares IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, IShares IBoxx 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 IShares IBoxx will offset losses from the drop in IShares IBoxx's long position.| SPDR Barclays vs. PrimeEnergy | SPDR Barclays vs. Israel Acquisitions Corp | SPDR Barclays vs. CKX Lands | SPDR Barclays vs. HUMANA INC |
| IShares IBoxx vs. PrimeEnergy | IShares IBoxx vs. Israel Acquisitions Corp | IShares IBoxx vs. CKX Lands | IShares IBoxx vs. HUMANA INC |
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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