Correlation Between SPDR Series and Vanguard Value
Can any of the company-specific risk be diversified away by investing in both SPDR 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 SPDR 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 SPDR Series Trust and Vanguard Value Index, you can compare the effects of market volatilities on SPDR 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 SPDR Series with a short position of Vanguard Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Series and Vanguard Value.
Diversification Opportunities for SPDR Series and Vanguard Value
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Vanguard is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Series Trust and Vanguard Value Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value Index and SPDR 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 SPDR Series Trust 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 Index has no effect on the direction of SPDR Series i.e., SPDR Series and Vanguard Value go up and down completely randomly.
Pair Corralation between SPDR Series and Vanguard Value
Given the investment horizon of 90 days SPDR Series Trust is expected to generate 1.2 times more return on investment than Vanguard Value. However, SPDR Series is 1.2 times more volatile than Vanguard Value Index. It trades about 0.11 of its potential returns per unit of risk. Vanguard Value Index is currently generating about 0.12 per unit of risk. If you would invest 3,111 in SPDR Series Trust on November 9, 2024 and sell it today you would earn a total of 783.00 from holding SPDR Series Trust or generate 25.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Series Trust vs. Vanguard Value Index
Performance |
| Timeline |
| SPDR Series Trust |
| Vanguard Value Index |
SPDR Series and Vanguard Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Series and Vanguard Value
The main advantage of trading using opposite SPDR Series and Vanguard Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR 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.| SPDR Series vs. Freedom Day Dividend | SPDR Series vs. Franklin Templeton ETF | SPDR Series vs. iShares MSCI China | SPDR Series vs. Tidal Trust II |
| Vanguard Value vs. Vanguard Growth Index | Vanguard Value vs. Vanguard Small Cap Value | Vanguard Value vs. Vanguard Mid Cap Value | Vanguard Value vs. Vanguard Small Cap Index |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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