Correlation Between Vanguard Value and ETF Series
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and ETF Series 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 Value and ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Value Factor and ETF Series Solutions, you can compare the effects of market volatilities on Vanguard Value and ETF Series 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 Value with a short position of ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and ETF Series.
Diversification Opportunities for Vanguard Value and ETF Series
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and ETF is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Factor and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions and Vanguard Value 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 Value Factor are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of Vanguard Value i.e., Vanguard Value and ETF Series go up and down completely randomly.
Pair Corralation between Vanguard Value and ETF Series
Given the investment horizon of 90 days Vanguard Value Factor is expected to generate 0.94 times more return on investment than ETF Series. However, Vanguard Value Factor is 1.07 times less risky than ETF Series. It trades about 0.1 of its potential returns per unit of risk. ETF Series Solutions is currently generating about 0.09 per unit of risk. If you would invest 9,697 in Vanguard Value Factor on September 1, 2024 and sell it today you would earn a total of 3,199 from holding Vanguard Value Factor or generate 32.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.63% |
| Values | Daily Returns |
Vanguard Value Factor vs. ETF Series Solutions
Performance |
| Timeline |
| Vanguard Value Factor |
| ETF Series Solutions |
Vanguard Value and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and ETF Series
The main advantage of trading using opposite Vanguard Value and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| Vanguard Value vs. Vanguard Quality Factor | Vanguard Value vs. Vanguard Momentum Factor | Vanguard Value vs. Vanguard Multifactor | Vanguard Value vs. Vanguard Minimum Volatility |
| ETF Series vs. Distillate Fundamental Stability | ETF Series vs. ETF Series Solutions | ETF Series vs. Fairlead Tactical Sector | ETF Series vs. VanEck ETF Trust |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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