Correlation Between Barclays ETN and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both Barclays ETN and Vanguard FTSE 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 Barclays ETN and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Barclays ETN Select and Vanguard FTSE All World, you can compare the effects of market volatilities on Barclays ETN and Vanguard FTSE 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 Barclays ETN with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Barclays ETN and Vanguard FTSE.
Diversification Opportunities for Barclays ETN and Vanguard FTSE
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Barclays and Vanguard is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Barclays ETN Select and Vanguard FTSE All World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE All and Barclays ETN 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 Barclays ETN Select are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE All has no effect on the direction of Barclays ETN i.e., Barclays ETN and Vanguard FTSE go up and down completely randomly.
Pair Corralation between Barclays ETN and Vanguard FTSE
Given the investment horizon of 90 days Barclays ETN Select is expected to generate 1.3 times more return on investment than Vanguard FTSE. However, Barclays ETN is 1.3 times more volatile than Vanguard FTSE All World. It trades about 0.58 of its potential returns per unit of risk. Vanguard FTSE All World is currently generating about -0.15 per unit of risk. If you would invest 2,650 in Barclays ETN Select on August 30, 2024 and sell it today you would earn a total of 359.00 from holding Barclays ETN Select or generate 13.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Barclays ETN Select vs. Vanguard FTSE All World
Performance |
| Timeline |
| Barclays ETN Select |
| Vanguard FTSE All |
Barclays ETN and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Barclays ETN and Vanguard FTSE
The main advantage of trading using opposite Barclays ETN and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Barclays ETN position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| Barclays ETN vs. Alerian Energy Infrastructure | Barclays ETN vs. UBS AG London | Barclays ETN vs. First Trust North | Barclays ETN vs. Tortoise North American |
| Vanguard FTSE vs. Vanguard FTSE Emerging | Vanguard FTSE vs. Vanguard Small Cap Index | Vanguard FTSE vs. Vanguard Total Bond | Vanguard FTSE vs. Vanguard FTSE All World |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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