Correlation Between Morgan Stanley and Vanguard Momentum
Can any of the company-specific risk be diversified away by investing in both Morgan Stanley and Vanguard Momentum 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 Morgan Stanley and Vanguard Momentum into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Morgan Stanley ETF and Vanguard Momentum Factor, you can compare the effects of market volatilities on Morgan Stanley and Vanguard Momentum 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 Morgan Stanley with a short position of Vanguard Momentum. Check out your portfolio center. Please also check ongoing floating volatility patterns of Morgan Stanley and Vanguard Momentum.
Diversification Opportunities for Morgan Stanley and Vanguard Momentum
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Morgan and Vanguard is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Morgan Stanley ETF and Vanguard Momentum Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Momentum Factor and Morgan Stanley 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 Morgan Stanley ETF are associated (or correlated) with Vanguard Momentum. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Momentum Factor has no effect on the direction of Morgan Stanley i.e., Morgan Stanley and Vanguard Momentum go up and down completely randomly.
Pair Corralation between Morgan Stanley and Vanguard Momentum
Given the investment horizon of 90 days Morgan Stanley is expected to generate 1.45 times less return on investment than Vanguard Momentum. But when comparing it to its historical volatility, Morgan Stanley ETF is 1.36 times less risky than Vanguard Momentum. It trades about 0.11 of its potential returns per unit of risk. Vanguard Momentum Factor is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 16,542 in Vanguard Momentum Factor on September 13, 2024 and sell it today you would earn a total of 867.00 from holding Vanguard Momentum Factor or generate 5.24% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Morgan Stanley ETF vs. Vanguard Momentum Factor
Performance |
Timeline |
Morgan Stanley ETF |
Vanguard Momentum Factor |
Morgan Stanley and Vanguard Momentum Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Morgan Stanley and Vanguard Momentum
The main advantage of trading using opposite Morgan Stanley and Vanguard Momentum positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Morgan Stanley position performs unexpectedly, Vanguard Momentum 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 Momentum will offset losses from the drop in Vanguard Momentum's long position.Morgan Stanley vs. Vanguard Momentum Factor | Morgan Stanley vs. Vanguard Multifactor | Morgan Stanley vs. Vanguard Value Factor | Morgan Stanley vs. Vanguard Minimum Volatility |
Vanguard Momentum vs. Vanguard Quality Factor | Vanguard Momentum vs. Vanguard Multifactor | Vanguard Momentum vs. Vanguard Value Factor | Vanguard Momentum vs. Vanguard Minimum Volatility |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
Other Complementary Tools
Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments |