Correlation Between SPDR MSCI and VanEck IBoxx

Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and VanEck 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 MSCI and VanEck IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between SPDR MSCI World and VanEck iBoxx EUR, you can compare the effects of market volatilities on SPDR MSCI and VanEck 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 MSCI with a short position of VanEck IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and VanEck IBoxx.

Diversification Opportunities for SPDR MSCI and VanEck IBoxx

-0.75

Correlation Coefficient

SPDR MSCI  VanEck IBoxx

Pay attention - limited upside

The 3 months correlation between SPDR and VanEck is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World and VanEck iBoxx EUR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck iBoxx EUR and SPDR MSCI 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 MSCI World are associated (or correlated) with VanEck IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck iBoxx EUR has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and VanEck IBoxx go up and down completely randomly.

Pair Corralation between SPDR MSCI and VanEck IBoxx

Assuming the 90 days trading horizon SPDR MSCI World is expected to under-perform the VanEck IBoxx. In addition to that, SPDR MSCI is 3.06 times more volatile than VanEck iBoxx EUR. It trades about -0.11 of its total potential returns per unit of risk. VanEck iBoxx EUR is currently generating about 0.1 per unit of volatility. If you would invest  1,695  in VanEck iBoxx EUR on May 17, 2025 and sell it today you would earn a total of  19.00  from holding VanEck iBoxx EUR or generate 1.12% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

SPDR MSCI World  vs.  VanEck iBoxx EUR

SPDR MSCI World

Risk-Adjusted Performance

Weakest

Over the last 90 days SPDR MSCI World has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, SPDR MSCI is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

VanEck iBoxx EUR

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in VanEck iBoxx EUR are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, VanEck IBoxx is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with SPDR MSCI and VanEck IBoxx

The main advantage of trading using opposite SPDR MSCI and VanEck IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, VanEck 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 VanEck IBoxx will offset losses from the drop in VanEck IBoxx's long position.

The idea behind SPDR MSCI World and VanEck iBoxx EUR pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.