Correlation Between NYSE Composite and Vanguard Mid-cap
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Vanguard Mid-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 NYSE Composite and Vanguard Mid-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Vanguard Mid Cap Index, you can compare the effects of market volatilities on NYSE Composite and Vanguard Mid-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 NYSE Composite with a short position of Vanguard Mid-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Vanguard Mid-cap.
Diversification Opportunities for NYSE Composite and Vanguard Mid-cap
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between NYSE and Vanguard is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Vanguard Mid Cap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Mid Cap and NYSE Composite 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 NYSE Composite are associated (or correlated) with Vanguard Mid-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Mid Cap has no effect on the direction of NYSE Composite i.e., NYSE Composite and Vanguard Mid-cap go up and down completely randomly.
Pair Corralation between NYSE Composite and Vanguard Mid-cap
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.87 times less return on investment than Vanguard Mid-cap. But when comparing it to its historical volatility, NYSE Composite is 1.17 times less risky than Vanguard Mid-cap. It trades about 0.15 of its potential returns per unit of risk. Vanguard Mid Cap Index is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 34,307 in Vanguard Mid Cap Index on August 28, 2024 and sell it today you would earn a total of 4,009 from holding Vanguard Mid Cap Index or generate 11.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Vanguard Mid Cap Index
Performance |
| Timeline |
NYSE Composite and Vanguard Mid-cap Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Vanguard Mid Cap Index
Pair trading matchups for Vanguard Mid-cap
Pair Trading with NYSE Composite and Vanguard Mid-cap
The main advantage of trading using opposite NYSE Composite and Vanguard Mid-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Vanguard Mid-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 Vanguard Mid-cap will offset losses from the drop in Vanguard Mid-cap's long position.| NYSE Composite vs. Hooker Furniture | NYSE Composite vs. Hudson Pacific Properties | NYSE Composite vs. Canlan Ice Sports | NYSE Composite vs. Boston Properties |
| Vanguard Mid-cap vs. Vanguard Small Cap Index | Vanguard Mid-cap vs. Vanguard 500 Index | Vanguard Mid-cap vs. Vanguard Growth Index | Vanguard Mid-cap vs. Vanguard Total International |
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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Other Complementary Tools
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Money Managers Screen money managers from public funds and ETFs managed around the world |