Correlation Between IShares Aaa and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both IShares Aaa and SPDR Barclays 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 IShares Aaa and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Aaa and SPDR Barclays Intermediate, you can compare the effects of market volatilities on IShares Aaa 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 IShares Aaa with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Aaa and SPDR Barclays.
Diversification Opportunities for IShares Aaa and SPDR Barclays
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and SPDR is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding iShares Aaa and SPDR Barclays Intermediate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Interm and IShares Aaa 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 iShares Aaa 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 Interm has no effect on the direction of IShares Aaa i.e., IShares Aaa and SPDR Barclays go up and down completely randomly.
Pair Corralation between IShares Aaa and SPDR Barclays
Given the investment horizon of 90 days iShares Aaa is expected to under-perform the SPDR Barclays. In addition to that, IShares Aaa is 1.55 times more volatile than SPDR Barclays Intermediate. It trades about -0.15 of its total potential returns per unit of risk. SPDR Barclays Intermediate is currently generating about -0.11 per unit of volatility. If you would invest 3,234 in SPDR Barclays Intermediate on January 18, 2024 and sell it today you would lose (23.00) from holding SPDR Barclays Intermediate or give up 0.71% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Aaa vs. SPDR Barclays Intermediate
Performance |
| Timeline |
| iShares Aaa |
| SPDR Barclays Interm |
IShares Aaa and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Aaa and SPDR Barclays
The main advantage of trading using opposite IShares Aaa and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Aaa 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.| IShares Aaa vs. iShares iBonds 2026 | IShares Aaa vs. iShares BBB Rated | IShares Aaa vs. iShares iBonds Dec | IShares Aaa vs. iShares 25 Year |
| SPDR Barclays vs. iShares iBonds 2026 | SPDR Barclays vs. iShares BBB Rated | SPDR Barclays vs. iShares iBonds Dec | SPDR Barclays vs. iShares 25 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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