Correlation Between Vanguard Extended and Vanguard Intermediate
Can any of the company-specific risk be diversified away by investing in both Vanguard Extended and Vanguard Intermediate 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 Extended and Vanguard Intermediate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Extended Duration and Vanguard Intermediate Term Bond, you can compare the effects of market volatilities on Vanguard Extended and Vanguard Intermediate 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 Extended with a short position of Vanguard Intermediate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Extended and Vanguard Intermediate.
Diversification Opportunities for Vanguard Extended and Vanguard Intermediate
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Vanguard is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Extended Duration and Vanguard Intermediate Term Bon in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Intermediate and Vanguard Extended 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 Extended Duration are associated (or correlated) with Vanguard Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Intermediate has no effect on the direction of Vanguard Extended i.e., Vanguard Extended and Vanguard Intermediate go up and down completely randomly.
Pair Corralation between Vanguard Extended and Vanguard Intermediate
Considering the 90-day investment horizon Vanguard Extended Duration is expected to under-perform the Vanguard Intermediate. In addition to that, Vanguard Extended is 4.33 times more volatile than Vanguard Intermediate Term Bond. It trades about -0.06 of its total potential returns per unit of risk. Vanguard Intermediate Term Bond is currently generating about -0.11 per unit of volatility. If you would invest 7,599 in Vanguard Intermediate Term Bond on August 24, 2024 and sell it today you would lose (63.00) from holding Vanguard Intermediate Term Bond or give up 0.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Extended Duration vs. Vanguard Intermediate Term Bon
Performance |
| Timeline |
| Vanguard Extended |
| Vanguard Intermediate |
Vanguard Extended and Vanguard Intermediate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Extended and Vanguard Intermediate
The main advantage of trading using opposite Vanguard Extended and Vanguard Intermediate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Extended position performs unexpectedly, Vanguard Intermediate 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 Intermediate will offset losses from the drop in Vanguard Intermediate's long position.| Vanguard Extended vs. Vanguard Long Term Treasury | Vanguard Extended vs. Vanguard Long Term Corporate | Vanguard Extended vs. Vanguard Long Term Bond | Vanguard Extended vs. PIMCO 25 Year |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Other Complementary Tools
| CEOs Directory Screen CEOs from public companies around the world | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| 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 |