Correlation Between ETF Series and Vanguard Value
Can any of the company-specific risk be diversified away by investing in both ETF Series and Vanguard Value 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 ETF Series and Vanguard Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ETF Series Solutions and Vanguard Value Factor, you can compare the effects of market volatilities on ETF Series and Vanguard Value 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 ETF Series with a short position of Vanguard Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of ETF Series and Vanguard Value.
Diversification Opportunities for ETF Series and Vanguard Value
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ETF and Vanguard is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding ETF Series Solutions and Vanguard Value Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value Factor and ETF Series 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 ETF Series Solutions are associated (or correlated) with Vanguard Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Value Factor has no effect on the direction of ETF Series i.e., ETF Series and Vanguard Value go up and down completely randomly.
Pair Corralation between ETF Series and Vanguard Value
Given the investment horizon of 90 days ETF Series is expected to generate 1.13 times less return on investment than Vanguard Value. In addition to that, ETF Series is 1.07 times more volatile than Vanguard Value Factor. It trades about 0.09 of its total potential returns per unit of risk. Vanguard Value Factor is currently generating about 0.1 per unit of volatility. If you would invest 9,697 in Vanguard Value Factor on September 1, 2024 and sell it today you would earn a total of 3,199 from holding Vanguard Value Factor or generate 32.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.63% |
| Values | Daily Returns |
ETF Series Solutions vs. Vanguard Value Factor
Performance |
| Timeline |
| ETF Series Solutions |
| Vanguard Value Factor |
ETF Series and Vanguard Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ETF Series and Vanguard Value
The main advantage of trading using opposite ETF Series and Vanguard Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ETF Series position performs unexpectedly, Vanguard Value 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 Value will offset losses from the drop in Vanguard Value's long position.| ETF Series vs. Distillate Fundamental Stability | ETF Series vs. ETF Series Solutions | ETF Series vs. Fairlead Tactical Sector | ETF Series vs. VanEck ETF Trust |
| Vanguard Value vs. Vanguard Quality Factor | Vanguard Value vs. Vanguard Momentum Factor | Vanguard Value vs. Vanguard Multifactor | Vanguard Value 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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