Correlation Between Vanguard Mortgage and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both Vanguard Mortgage and SPDR Portfolio 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 Mortgage and SPDR Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Mortgage Backed Securities and SPDR Portfolio Mortgage, you can compare the effects of market volatilities on Vanguard Mortgage and SPDR Portfolio 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 Mortgage with a short position of SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Mortgage and SPDR Portfolio.
Diversification Opportunities for Vanguard Mortgage and SPDR Portfolio
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and SPDR is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mortgage Backed Secur and SPDR Portfolio Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Mortgage and Vanguard Mortgage 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 Mortgage Backed Securities are associated (or correlated) with SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio Mortgage has no effect on the direction of Vanguard Mortgage i.e., Vanguard Mortgage and SPDR Portfolio go up and down completely randomly.
Pair Corralation between Vanguard Mortgage and SPDR Portfolio
Given the investment horizon of 90 days Vanguard Mortgage Backed Securities is expected to generate 0.92 times more return on investment than SPDR Portfolio. However, Vanguard Mortgage Backed Securities is 1.08 times less risky than SPDR Portfolio. It trades about -0.12 of its potential returns per unit of risk. SPDR Portfolio Mortgage is currently generating about -0.13 per unit of risk. If you would invest 4,691 in Vanguard Mortgage Backed Securities on August 29, 2024 and sell it today you would lose (86.00) from holding Vanguard Mortgage Backed Securities or give up 1.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Mortgage Backed Secur vs. SPDR Portfolio Mortgage
Performance |
| Timeline |
| Vanguard Mortgage |
| SPDR Portfolio Mortgage |
Vanguard Mortgage and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Mortgage and SPDR Portfolio
The main advantage of trading using opposite Vanguard Mortgage and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Mortgage position performs unexpectedly, SPDR Portfolio 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 Portfolio will offset losses from the drop in SPDR Portfolio's long position.The idea behind Vanguard Mortgage Backed Securities and SPDR Portfolio Mortgage pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| SPDR Portfolio vs. SPDR Portfolio Intermediate | SPDR Portfolio vs. iShares 5 10 Year | SPDR Portfolio vs. SPDR Barclays Long | SPDR Portfolio vs. SPDR Barclays Intermediate |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Other Complementary Tools
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account |