Correlation Between VanEck IBoxx and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both VanEck IBoxx and Vanguard FTSE 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 VanEck IBoxx and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between VanEck iBoxx EUR and Vanguard FTSE Developed, you can compare the effects of market volatilities on VanEck IBoxx and Vanguard FTSE 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 VanEck IBoxx with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of VanEck IBoxx and Vanguard FTSE.
Diversification Opportunities for VanEck IBoxx and Vanguard FTSE
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between VanEck and Vanguard is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding VanEck iBoxx EUR and Vanguard FTSE Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Developed and VanEck IBoxx 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 VanEck iBoxx EUR are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Developed has no effect on the direction of VanEck IBoxx i.e., VanEck IBoxx and Vanguard FTSE go up and down completely randomly.
Pair Corralation between VanEck IBoxx and Vanguard FTSE
Assuming the 90 days trading horizon VanEck IBoxx is expected to generate 1.41 times less return on investment than Vanguard FTSE. But when comparing it to its historical volatility, VanEck iBoxx EUR is 2.79 times less risky than Vanguard FTSE. It trades about 0.14 of its potential returns per unit of risk. Vanguard FTSE Developed is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 3,974 in Vanguard FTSE Developed on September 12, 2024 and sell it today you would earn a total of 43.00 from holding Vanguard FTSE Developed or generate 1.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
VanEck iBoxx EUR vs. Vanguard FTSE Developed
Performance |
| Timeline |
| VanEck iBoxx EUR |
| Vanguard FTSE Developed |
VanEck IBoxx and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with VanEck IBoxx and Vanguard FTSE
The main advantage of trading using opposite VanEck IBoxx and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if VanEck IBoxx position performs unexpectedly, Vanguard FTSE 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 FTSE will offset losses from the drop in Vanguard FTSE's long position.| VanEck IBoxx vs. VanEck iBoxx EUR | VanEck IBoxx vs. VanEck AEX UCITS | VanEck IBoxx vs. VanEck iBoxx EUR | VanEck IBoxx vs. iShares EURO STOXX |
| Vanguard FTSE vs. Vanguard FTSE Developed | Vanguard FTSE vs. Vanguard FTSE Emerging | Vanguard FTSE vs. iShares Core FTSE | Vanguard FTSE vs. HSBC MSCI Japan |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
Other Complementary Tools
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA |