Correlation Between Vanguard MSCI and Vanguard Global
Can any of the company-specific risk be diversified away by investing in both Vanguard MSCI and Vanguard Global 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 MSCI and Vanguard Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard MSCI International and Vanguard Global Value, you can compare the effects of market volatilities on Vanguard MSCI and Vanguard Global 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 MSCI with a short position of Vanguard Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard MSCI and Vanguard Global.
Diversification Opportunities for Vanguard MSCI and Vanguard Global
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and Vanguard is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard MSCI International and Vanguard Global Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Global Value and Vanguard MSCI 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 MSCI International are associated (or correlated) with Vanguard Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Global Value has no effect on the direction of Vanguard MSCI i.e., Vanguard MSCI and Vanguard Global go up and down completely randomly.
Pair Corralation between Vanguard MSCI and Vanguard Global
Assuming the 90 days trading horizon Vanguard MSCI is expected to generate 2.37 times less return on investment than Vanguard Global. But when comparing it to its historical volatility, Vanguard MSCI International is 1.23 times less risky than Vanguard Global. It trades about 0.12 of its potential returns per unit of risk. Vanguard Global Value is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 6,882 in Vanguard Global Value on August 25, 2024 and sell it today you would earn a total of 568.00 from holding Vanguard Global Value or generate 8.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard MSCI International vs. Vanguard Global Value
Performance |
| Timeline |
| Vanguard MSCI Intern |
| Vanguard Global Value |
Vanguard MSCI and Vanguard Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard MSCI and Vanguard Global
The main advantage of trading using opposite Vanguard MSCI and Vanguard Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard MSCI position performs unexpectedly, Vanguard Global 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 Global will offset losses from the drop in Vanguard Global's long position.| Vanguard MSCI vs. ETFS Morningstar Global | Vanguard MSCI vs. BetaShares Geared Equity | Vanguard MSCI vs. VanEck Vectors Australian | Vanguard MSCI vs. SPDR SPASX 200 |
| Vanguard Global vs. Betashares Asia Technology | Vanguard Global vs. CD Private Equity | Vanguard Global vs. BetaShares Australia 200 | Vanguard Global vs. Australian High Interest |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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