Correlation Between Vanguard Small-cap and Fuller Thaler
Can any of the company-specific risk be diversified away by investing in both Vanguard Small-cap and Fuller Thaler 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 Small-cap and Fuller Thaler into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Index and Fuller Thaler Behavioral, you can compare the effects of market volatilities on Vanguard Small-cap and Fuller Thaler 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 Small-cap with a short position of Fuller Thaler. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small-cap and Fuller Thaler.
Diversification Opportunities for Vanguard Small-cap and Fuller Thaler
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Fuller is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index and Fuller Thaler Behavioral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fuller Thaler Behavioral and Vanguard Small-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 Small Cap Index are associated (or correlated) with Fuller Thaler. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fuller Thaler Behavioral has no effect on the direction of Vanguard Small-cap i.e., Vanguard Small-cap and Fuller Thaler go up and down completely randomly.
Pair Corralation between Vanguard Small-cap and Fuller Thaler
Assuming the 90 days horizon Vanguard Small-cap is expected to generate 1.23 times less return on investment than Fuller Thaler. In addition to that, Vanguard Small-cap is 1.04 times more volatile than Fuller Thaler Behavioral. It trades about 0.06 of its total potential returns per unit of risk. Fuller Thaler Behavioral is currently generating about 0.08 per unit of volatility. If you would invest 3,543 in Fuller Thaler Behavioral on August 25, 2024 and sell it today you would earn a total of 1,728 from holding Fuller Thaler Behavioral or generate 48.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. Fuller Thaler Behavioral
Performance |
| Timeline |
| Vanguard Small Cap |
| Fuller Thaler Behavioral |
Vanguard Small-cap and Fuller Thaler Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small-cap and Fuller Thaler
The main advantage of trading using opposite Vanguard Small-cap and Fuller Thaler positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small-cap position performs unexpectedly, Fuller Thaler 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 Fuller Thaler will offset losses from the drop in Fuller Thaler's long position.| Vanguard Small-cap vs. Vanguard Mid Cap Index | Vanguard Small-cap vs. Vanguard 500 Index | Vanguard Small-cap vs. Vanguard Emerging Markets | Vanguard Small-cap vs. Vanguard Reit Index |
| Fuller Thaler vs. Goldman Sachs Gqg | Fuller Thaler vs. Edgewood Growth Fund | Fuller Thaler vs. Pimco Investment Grade | Fuller Thaler vs. Oakmark International Fund |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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