Correlation Between Vanguard Long and SPDR Barclays

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Can any of the company-specific risk be diversified away by investing in both Vanguard Long 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 Vanguard Long and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Long Term Bond and SPDR Barclays Long, you can compare the effects of market volatilities on Vanguard Long 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 Vanguard Long with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Long and SPDR Barclays.

Diversification Opportunities for Vanguard Long and SPDR Barclays

VanguardSPDRVanguardSPDRDiversified Away100%
1.0
  Correlation Coefficient

No risk reduction

The 3 months correlation between Vanguard and SPDR is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Long Term Bond and SPDR Barclays Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Long and Vanguard Long 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 Vanguard Long Term Bond 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 Long has no effect on the direction of Vanguard Long i.e., Vanguard Long and SPDR Barclays go up and down completely randomly.

Pair Corralation between Vanguard Long and SPDR Barclays

Considering the 90-day investment horizon Vanguard Long Term Bond is expected to generate 1.12 times more return on investment than SPDR Barclays. However, Vanguard Long is 1.12 times more volatile than SPDR Barclays Long. It trades about 0.18 of its potential returns per unit of risk. SPDR Barclays Long is currently generating about 0.15 per unit of risk. If you would invest  6,819  in Vanguard Long Term Bond on November 25, 2024 and sell it today you would earn a total of  165.00  from holding Vanguard Long Term Bond or generate 2.42% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Vanguard Long Term Bond  vs.  SPDR Barclays Long

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -4-2024
JavaScript chart by amCharts 3.21.15BLV SPLB
       Timeline  
Vanguard Long Term 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Vanguard Long Term Bond has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable essential indicators, Vanguard Long is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb676869707172
SPDR Barclays Long 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days SPDR Barclays Long has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong essential indicators, SPDR Barclays is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb2222.52323.5

Vanguard Long and SPDR Barclays Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-2.1-1.57-1.04-0.510.0088760.521.051.582.112.64 0.20.40.60.8
JavaScript chart by amCharts 3.21.15BLV SPLB
       Returns  

Pair Trading with Vanguard Long and SPDR Barclays

The main advantage of trading using opposite Vanguard Long and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Long 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.
The idea behind Vanguard Long Term Bond and SPDR Barclays Long 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.

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