Correlation Between Vanguard FTSE and SPDR SSGA
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and SPDR SSGA 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 Vanguard FTSE and SPDR SSGA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Developed and SPDR SSGA Small, you can compare the effects of market volatilities on Vanguard FTSE and SPDR SSGA 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 FTSE with a short position of SPDR SSGA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and SPDR SSGA.
Diversification Opportunities for Vanguard FTSE and SPDR SSGA
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Vanguard and SPDR is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and SPDR SSGA Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SSGA Small and Vanguard FTSE 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 FTSE Developed are associated (or correlated) with SPDR SSGA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SSGA Small has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and SPDR SSGA go up and down completely randomly.
Pair Corralation between Vanguard FTSE and SPDR SSGA
Considering the 90-day investment horizon Vanguard FTSE Developed is expected to under-perform the SPDR SSGA. But the etf apears to be less risky and, when comparing its historical volatility, Vanguard FTSE Developed is 3.06 times less risky than SPDR SSGA. The etf trades about -0.11 of its potential returns per unit of risk. The SPDR SSGA Small is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 12,527 in SPDR SSGA Small on August 24, 2024 and sell it today you would earn a total of 1,379 from holding SPDR SSGA Small or generate 11.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Developed vs. SPDR SSGA Small
Performance |
| Timeline |
| Vanguard FTSE Developed |
| SPDR SSGA Small |
Vanguard FTSE and SPDR SSGA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and SPDR SSGA
The main advantage of trading using opposite Vanguard FTSE and SPDR SSGA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, SPDR SSGA 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 SPDR SSGA will offset losses from the drop in SPDR SSGA's long position.| Vanguard FTSE vs. Dimensional Core Equity | Vanguard FTSE vs. Dimensional Emerging Core | Vanguard FTSE vs. Dimensional Targeted Value | Vanguard FTSE vs. Dimensional Small Cap |
| SPDR SSGA vs. SPDR SSGA Large | SPDR SSGA vs. Invesco SP SmallCap | SPDR SSGA vs. Invesco SP MidCap | SPDR SSGA vs. SPDR MSCI EAFE |
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 Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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