Correlation Between Vanguard Mid-cap and Schwartz Value
Can any of the company-specific risk be diversified away by investing in both Vanguard Mid-cap and Schwartz Value 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 Mid-cap and Schwartz Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Mid Cap Index and Schwartz Value Focused, you can compare the effects of market volatilities on Vanguard Mid-cap and Schwartz Value 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 Mid-cap with a short position of Schwartz Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Mid-cap and Schwartz Value.
Diversification Opportunities for Vanguard Mid-cap and Schwartz Value
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and Schwartz is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mid Cap Index and Schwartz Value Focused in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Schwartz Value Focused and Vanguard Mid-cap 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 Mid Cap Index are associated (or correlated) with Schwartz Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Schwartz Value Focused has no effect on the direction of Vanguard Mid-cap i.e., Vanguard Mid-cap and Schwartz Value go up and down completely randomly.
Pair Corralation between Vanguard Mid-cap and Schwartz Value
Assuming the 90 days horizon Vanguard Mid-cap is expected to generate 1.11 times less return on investment than Schwartz Value. But when comparing it to its historical volatility, Vanguard Mid Cap Index is 1.68 times less risky than Schwartz Value. It trades about 0.08 of its potential returns per unit of risk. Schwartz Value Focused is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 4,245 in Schwartz Value Focused on November 27, 2024 and sell it today you would earn a total of 1,429 from holding Schwartz Value Focused or generate 33.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Mid Cap Index vs. Schwartz Value Focused
Performance |
| Timeline |
| Vanguard Mid Cap |
| Schwartz Value Focused |
Vanguard Mid-cap and Schwartz Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Mid-cap and Schwartz Value
The main advantage of trading using opposite Vanguard Mid-cap and Schwartz Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Mid-cap position performs unexpectedly, Schwartz Value 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 Schwartz Value will offset losses from the drop in Schwartz Value's long position.| Vanguard Mid-cap vs. Vanguard Small Cap Index | Vanguard Mid-cap vs. Vanguard Institutional Index | Vanguard Mid-cap vs. Vanguard Total Bond | Vanguard Mid-cap vs. Vanguard Total International |
| Schwartz Value vs. Kinetics Small Cap | Schwartz Value vs. Ave Maria Value | Schwartz Value vs. Kinetics Market Opportunities | Schwartz Value vs. Ave Maria Rising |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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