Correlation Between Vanguard Small-cap and Tiaa-cref Large-cap
Can any of the company-specific risk be diversified away by investing in both Vanguard Small-cap and Tiaa-cref Large-cap 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 Small-cap and Tiaa-cref Large-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Index and Tiaa Cref Large Cap Value, you can compare the effects of market volatilities on Vanguard Small-cap and Tiaa-cref Large-cap 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 Small-cap with a short position of Tiaa-cref Large-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small-cap and Tiaa-cref Large-cap.
Diversification Opportunities for Vanguard Small-cap and Tiaa-cref Large-cap
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and Tiaa-cref is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index and Tiaa Cref Large Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tiaa-cref Large-cap and Vanguard Small-cap 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 Small Cap Index are associated (or correlated) with Tiaa-cref Large-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tiaa-cref Large-cap has no effect on the direction of Vanguard Small-cap i.e., Vanguard Small-cap and Tiaa-cref Large-cap go up and down completely randomly.
Pair Corralation between Vanguard Small-cap and Tiaa-cref Large-cap
Assuming the 90 days horizon Vanguard Small Cap Index is expected to under-perform the Tiaa-cref Large-cap. In addition to that, Vanguard Small-cap is 1.28 times more volatile than Tiaa Cref Large Cap Value. It trades about -0.14 of its total potential returns per unit of risk. Tiaa Cref Large Cap Value is currently generating about -0.09 per unit of volatility. If you would invest 2,403 in Tiaa Cref Large Cap Value on November 27, 2024 and sell it today you would lose (96.00) from holding Tiaa Cref Large Cap Value or give up 4.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. Tiaa Cref Large Cap Value
Performance |
| Timeline |
| Vanguard Small Cap |
| Tiaa-cref Large-cap |
Vanguard Small-cap and Tiaa-cref Large-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small-cap and Tiaa-cref Large-cap
The main advantage of trading using opposite Vanguard Small-cap and Tiaa-cref Large-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small-cap position performs unexpectedly, Tiaa-cref Large-cap 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 Tiaa-cref Large-cap will offset losses from the drop in Tiaa-cref Large-cap's long position.| Vanguard Small-cap vs. Vanguard Mid Cap Index | Vanguard Small-cap vs. Vanguard Reit Index | Vanguard Small-cap vs. Vanguard Value Index | Vanguard Small-cap vs. Vanguard Small Cap Value |
| Tiaa-cref Large-cap vs. Tiaa Cref Mid Cap Value | Tiaa-cref Large-cap vs. Tiaa Cref International Equity | Tiaa-cref Large-cap vs. Tiaa Cref Mid Cap Growth | Tiaa-cref Large-cap vs. Tiaa Cref Small Cap Equity |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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