Correlation Between Vanguard Russell and SPDR BOFA
Can any of the company-specific risk be diversified away by investing in both Vanguard Russell and SPDR BOFA 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 Russell and SPDR BOFA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Russell 1000 and SPDR BOFA MERRILL, you can compare the effects of market volatilities on Vanguard Russell and SPDR BOFA 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 Russell with a short position of SPDR BOFA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Russell and SPDR BOFA.
Diversification Opportunities for Vanguard Russell and SPDR BOFA
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and SPDR is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Russell 1000 and SPDR BOFA MERRILL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR BOFA MERRILL and Vanguard Russell 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 Russell 1000 are associated (or correlated) with SPDR BOFA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR BOFA MERRILL has no effect on the direction of Vanguard Russell i.e., Vanguard Russell and SPDR BOFA go up and down completely randomly.
Pair Corralation between Vanguard Russell and SPDR BOFA
Assuming the 90 days horizon Vanguard Russell is expected to generate 2.73 times less return on investment than SPDR BOFA. But when comparing it to its historical volatility, Vanguard Russell 1000 is 1.47 times less risky than SPDR BOFA. It trades about 0.16 of its potential returns per unit of risk. SPDR BOFA MERRILL is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 1,634 in SPDR BOFA MERRILL on August 24, 2024 and sell it today you would earn a total of 185.00 from holding SPDR BOFA MERRILL or generate 11.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Russell 1000 vs. SPDR BOFA MERRILL
Performance |
| Timeline |
| Vanguard Russell 1000 |
| SPDR BOFA MERRILL |
Vanguard Russell and SPDR BOFA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Russell and SPDR BOFA
The main advantage of trading using opposite Vanguard Russell and SPDR BOFA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Russell position performs unexpectedly, SPDR BOFA 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 BOFA will offset losses from the drop in SPDR BOFA's long position.| Vanguard Russell vs. Vanguard FTSE Canadian | Vanguard Russell vs. Vanguard Mortgage Backed Securities | Vanguard Russell vs. Vanguard Funds Public | Vanguard Russell vs. Vanguard Funds Public |
| SPDR BOFA vs. Cambria Micro And | SPDR BOFA vs. Invesco Actively Managed | SPDR BOFA vs. iShares Trust | SPDR BOFA vs. EMCS |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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