Correlation Between SPDR Barclays and IShares ESG
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and IShares ESG 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 ESG 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 ESG USD, you can compare the effects of market volatilities on SPDR Barclays and IShares ESG 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 ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and IShares ESG.
Diversification Opportunities for SPDR Barclays and IShares ESG
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and IShares is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Intermediate and iShares ESG USD in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG USD 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 ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares ESG USD has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and IShares ESG go up and down completely randomly.
Pair Corralation between SPDR Barclays and IShares ESG
Given the investment horizon of 90 days SPDR Barclays is expected to generate 1.25 times less return on investment than IShares ESG. But when comparing it to its historical volatility, SPDR Barclays Intermediate is 1.6 times less risky than IShares ESG. It trades about 0.16 of its potential returns per unit of risk. iShares ESG USD is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 2,088 in iShares ESG USD on January 25, 2024 and sell it today you would earn a total of 146.00 from holding iShares ESG USD or generate 6.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Barclays Intermediate vs. iShares ESG USD
Performance |
| Timeline |
| SPDR Barclays Interm |
| iShares ESG USD |
SPDR Barclays and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and IShares ESG
The main advantage of trading using opposite SPDR Barclays and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, IShares ESG 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 ESG will offset losses from the drop in IShares ESG's long position.| SPDR Barclays vs. iShares iBoxx High | SPDR Barclays vs. iShares 1 3 Year | SPDR Barclays vs. iShares TIPS Bond | SPDR Barclays vs. iShares 7 10 Year |
| IShares ESG vs. iShares iBoxx High | IShares ESG vs. iShares 1 3 Year | IShares ESG vs. iShares TIPS Bond | IShares ESG vs. iShares 7 10 Year |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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