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Correlation Between SPDR Portfolio and IShares IBoxx

Analyzing existing cross correlation between SPDR Portfolio Intermediate Ter and IShares IBoxx Investment Grad. You can compare the effects of market volatilities on SPDR Portfolio 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 Portfolio with a short position of IShares IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and IShares IBoxx.

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Diversification Opportunities for SPDR Portfolio and IShares IBoxx

SPDR Portfolio Intermediate Te diversification synergy
0.96
SPD
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Almost no diversification

The 3 months correlation between SPDR and IShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Intermediate Te and IShares IBoxx Investment Grad in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IShares IBoxx Invest and SPDR Portfolio 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 Portfolio Intermediate Ter 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 Invest has no effect on the direction of SPDR Portfolio i.e. SPDR Portfolio and IShares IBoxx go up and down completely randomly.

Pair Corralation between SPDR Portfolio and IShares IBoxx

Given the investment horizon of 30 days, SPDR Portfolio is expected to generate 1.99 times less return on investment than IShares IBoxx. But when comparing it to its historical volatility, SPDR Portfolio Intermediate Ter is 1.81 times less risky than IShares IBoxx. It trades about 0.17 of its potential returns per unit of risk. IShares IBoxx Investment Grad is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  12,791  in IShares IBoxx Investment Grad on January 23, 2020 and sell it today you would earn a total of  384.00  from holding IShares IBoxx Investment Grad or generate 3.0% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy98.36%
ValuesDaily Returns

SPDR Portfolio Intermediate Te  vs.  IShares IBoxx Investment Grad

 Performance (%) 
    
  Timeline 
SPDR Portfolio Inter 
1111

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR Portfolio Intermediate Ter are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, SPDR Portfolio is not utilizing all of its potentials. The ongoing stock price disturbance, may contribute to short term losses for the investors.
IShares IBoxx Invest 
1212

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in IShares IBoxx Investment Grad are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound fundamental drivers, IShares IBoxx is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

SPDR Portfolio and IShares IBoxx Volatility Contrast

 Predicted Return Density 
    
  Returns 
Check out your portfolio center. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.