Correlation Between SPDR Portfolio and Vanguard Mortgage
Can any of the company-specific risk be diversified away by investing in both SPDR Portfolio and Vanguard Mortgage 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 Portfolio and Vanguard Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Portfolio Mortgage and Vanguard Mortgage Backed Securities, you can compare the effects of market volatilities on SPDR Portfolio and Vanguard Mortgage 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 Portfolio with a short position of Vanguard Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and Vanguard Mortgage.
Diversification Opportunities for SPDR Portfolio and Vanguard Mortgage
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Vanguard is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Mortgage and Vanguard Mortgage Backed Secur in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Mortgage and SPDR Portfolio 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 Portfolio Mortgage are associated (or correlated) with Vanguard Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Mortgage has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and Vanguard Mortgage go up and down completely randomly.
Pair Corralation between SPDR Portfolio and Vanguard Mortgage
Given the investment horizon of 90 days SPDR Portfolio Mortgage is expected to under-perform the Vanguard Mortgage. In addition to that, SPDR Portfolio is 1.08 times more volatile than Vanguard Mortgage Backed Securities. It trades about -0.11 of its total potential returns per unit of risk. Vanguard Mortgage Backed Securities is currently generating about -0.07 per unit of volatility. If you would invest 4,592 in Vanguard Mortgage Backed Securities on August 23, 2024 and sell it today you would lose (26.00) from holding Vanguard Mortgage Backed Securities or give up 0.57% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Portfolio Mortgage vs. Vanguard Mortgage Backed Secur
Performance |
| Timeline |
| SPDR Portfolio Mortgage |
| Vanguard Mortgage |
SPDR Portfolio and Vanguard Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Portfolio and Vanguard Mortgage
The main advantage of trading using opposite SPDR Portfolio and Vanguard Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Portfolio position performs unexpectedly, Vanguard Mortgage 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 Mortgage will offset losses from the drop in Vanguard Mortgage's long position.| SPDR Portfolio vs. SPDR Portfolio Intermediate | SPDR Portfolio vs. iShares 5 10 Year | SPDR Portfolio vs. SPDR Barclays Long | SPDR Portfolio vs. SPDR Barclays Intermediate |
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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