Correlation Between PIMCO RAFI and Vanguard Russell
Can any of the company-specific risk be diversified away by investing in both PIMCO RAFI and Vanguard Russell 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 PIMCO RAFI and Vanguard Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO RAFI Dynamic and Vanguard Russell 1000, you can compare the effects of market volatilities on PIMCO RAFI and Vanguard Russell 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 PIMCO RAFI with a short position of Vanguard Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO RAFI and Vanguard Russell.
Diversification Opportunities for PIMCO RAFI and Vanguard Russell
-0.55 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between PIMCO and Vanguard is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO RAFI Dynamic and Vanguard Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Russell 1000 and PIMCO RAFI 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 PIMCO RAFI Dynamic are associated (or correlated) with Vanguard Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Russell 1000 has no effect on the direction of PIMCO RAFI i.e., PIMCO RAFI and Vanguard Russell go up and down completely randomly.
Pair Corralation between PIMCO RAFI and Vanguard Russell
Given the investment horizon of 90 days PIMCO RAFI is expected to generate 2.78 times less return on investment than Vanguard Russell. But when comparing it to its historical volatility, PIMCO RAFI Dynamic is 1.51 times less risky than Vanguard Russell. It trades about 0.05 of its potential returns per unit of risk. Vanguard Russell 1000 is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 72,414 in Vanguard Russell 1000 on September 13, 2024 and sell it today you would earn a total of 9,892 from holding Vanguard Russell 1000 or generate 13.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PIMCO RAFI Dynamic vs. Vanguard Russell 1000
Performance |
| Timeline |
| PIMCO RAFI Dynamic |
| Vanguard Russell 1000 |
PIMCO RAFI and Vanguard Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PIMCO RAFI and Vanguard Russell
The main advantage of trading using opposite PIMCO RAFI and Vanguard Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO RAFI position performs unexpectedly, Vanguard Russell 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 Russell will offset losses from the drop in Vanguard Russell's long position.| PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. PIMCO RAFI Dynamic | PIMCO RAFI vs. JPMorgan Diversified Return | PIMCO RAFI vs. JPMorgan Diversified Return |
| Vanguard Russell vs. Vanguard FTSE Canadian | Vanguard Russell vs. Vanguard Funds Public | Vanguard Russell vs. Vanguard Funds Public | Vanguard Russell vs. Vanguard Funds Public |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
Other Complementary Tools
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| 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 | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance |