Correlation Between Vanguard Small and CBOE Low
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By analyzing existing cross correlation between Vanguard Small Cap Index and CBOE Low Volatility, you can compare the effects of market volatilities on Vanguard Small and CBOE Low 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 with a short position of CBOE Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small and CBOE Low.
Diversification Opportunities for Vanguard Small and CBOE Low
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and CBOE is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index and CBOE Low Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CBOE Low Volatility and Vanguard Small 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 CBOE Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CBOE Low Volatility has no effect on the direction of Vanguard Small i.e., Vanguard Small and CBOE Low go up and down completely randomly.
Pair Corralation between Vanguard Small and CBOE Low
Allowing for the 90-day total investment horizon Vanguard Small Cap Index is expected to under-perform the CBOE Low. In addition to that, Vanguard Small is 2.18 times more volatile than CBOE Low Volatility. It trades about -0.1 of its total potential returns per unit of risk. CBOE Low Volatility is currently generating about -0.01 per unit of volatility. If you would invest 46,788 in CBOE Low Volatility on January 13, 2025 and sell it today you would lose (215.00) from holding CBOE Low Volatility or give up 0.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. CBOE Low Volatility
Performance |
| Timeline |
Vanguard Small and CBOE Low Volatility Contrast
Predicted Return Density |
| Returns |
Vanguard Small Cap Index
Pair trading matchups for Vanguard Small
CBOE Low Volatility
Pair trading matchups for CBOE Low
Pair Trading with Vanguard Small and CBOE Low
The main advantage of trading using opposite Vanguard Small and CBOE Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small position performs unexpectedly, CBOE Low 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 CBOE Low will offset losses from the drop in CBOE Low's long position.| Vanguard Small vs. Vanguard Mid Cap Index | Vanguard Small vs. Vanguard Small Cap Value | Vanguard Small vs. Vanguard FTSE Emerging | Vanguard Small vs. Vanguard Large Cap Index |
| CBOE Low vs. Academy Sports Outdoors | CBOE Low vs. Emerson Radio | CBOE Low vs. NetEase | CBOE Low vs. Dave Busters Entertainment |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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