Correlation Between Vanguard Value and Fidelity Value
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and Fidelity 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 Value and Fidelity Value 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 Fidelity Value Factor, you can compare the effects of market volatilities on Vanguard Value and Fidelity 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 Value with a short position of Fidelity Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and Fidelity Value.
Diversification Opportunities for Vanguard Value and Fidelity Value
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Fidelity is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and Fidelity Value Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fidelity Value Factor 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 Fidelity Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fidelity Value Factor has no effect on the direction of Vanguard Value i.e., Vanguard Value and Fidelity Value go up and down completely randomly.
Pair Corralation between Vanguard Value and Fidelity Value
Considering the 90-day investment horizon Vanguard Value is expected to generate 1.01 times less return on investment than Fidelity Value. But when comparing it to its historical volatility, Vanguard Value Index is 1.14 times less risky than Fidelity Value. It trades about 0.17 of its potential returns per unit of risk. Fidelity Value Factor is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 5,587 in Fidelity Value Factor on August 31, 2024 and sell it today you would earn a total of 829.00 from holding Fidelity Value Factor or generate 14.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Value Index vs. Fidelity Value Factor
Performance |
| Timeline |
| Vanguard Value Index |
| Fidelity Value Factor |
Vanguard Value and Fidelity Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and Fidelity Value
The main advantage of trading using opposite Vanguard Value and Fidelity Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, Fidelity 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 Fidelity Value will offset losses from the drop in Fidelity Value's 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 |
| Fidelity Value vs. iShares Core SP | Fidelity Value vs. iShares Core MSCI | Fidelity Value vs. iShares Broad USD | Fidelity Value 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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