Correlation Between Vanguard Value and ETF Series
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and ETF Series 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 Value and ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Value Index and ETF Series Solutions, you can compare the effects of market volatilities on Vanguard Value and ETF Series 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 Value with a short position of ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and ETF Series.
Diversification Opportunities for Vanguard Value and ETF Series
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and ETF is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions and Vanguard Value 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 Value Index are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of Vanguard Value i.e., Vanguard Value and ETF Series go up and down completely randomly.
Pair Corralation between Vanguard Value and ETF Series
Considering the 90-day investment horizon Vanguard Value Index is expected to generate 1.02 times more return on investment than ETF Series. However, Vanguard Value is 1.02 times more volatile than ETF Series Solutions. It trades about 0.17 of its potential returns per unit of risk. ETF Series Solutions is currently generating about 0.14 per unit of risk. If you would invest 15,843 in Vanguard Value Index on September 1, 2024 and sell it today you would earn a total of 2,344 from holding Vanguard Value Index or generate 14.8% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Vanguard Value Index vs. ETF Series Solutions
Performance |
| Timeline |
| Vanguard Value Index |
| ETF Series Solutions |
Vanguard Value and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and ETF Series
The main advantage of trading using opposite Vanguard Value and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| Vanguard Value vs. Vanguard Growth Index | Vanguard Value vs. Vanguard Small Cap Value | Vanguard Value vs. Vanguard Mid Cap Value | Vanguard Value vs. Vanguard Small Cap Index |
| ETF Series vs. iShares Core SP | ETF Series vs. iShares Core MSCI | ETF Series vs. iShares Broad USD | ETF Series vs. iShares Core SP |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
Other Complementary Tools
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets |