Correlation Between Vanguard Value and Jacob Forward
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and Jacob Forward 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 Jacob Forward 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 Jacob Forward ETF, you can compare the effects of market volatilities on Vanguard Value and Jacob Forward 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 Jacob Forward. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and Jacob Forward.
Diversification Opportunities for Vanguard Value and Jacob Forward
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Jacob is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and Jacob Forward ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jacob Forward ETF 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 Jacob Forward. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jacob Forward ETF has no effect on the direction of Vanguard Value i.e., Vanguard Value and Jacob Forward go up and down completely randomly.
Pair Corralation between Vanguard Value and Jacob Forward
Considering the 90-day investment horizon Vanguard Value is expected to generate 2.85 times less return on investment than Jacob Forward. But when comparing it to its historical volatility, Vanguard Value Index is 2.88 times less risky than Jacob Forward. It trades about 0.35 of its potential returns per unit of risk. Jacob Forward ETF is currently generating about 0.34 of returns per unit of risk over similar time horizon. If you would invest 1,078 in Jacob Forward ETF on September 1, 2024 and sell it today you would earn a total of 187.00 from holding Jacob Forward ETF or generate 17.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Vanguard Value Index vs. Jacob Forward ETF
Performance |
| Timeline |
| Vanguard Value Index |
| Jacob Forward ETF |
Vanguard Value and Jacob Forward Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and Jacob Forward
The main advantage of trading using opposite Vanguard Value and Jacob Forward positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, Jacob Forward 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 Jacob Forward will offset losses from the drop in Jacob Forward'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 |
| Jacob Forward vs. iShares SP Mid Cap | Jacob Forward vs. iShares SP Small Cap | Jacob Forward vs. iShares SP Mid Cap | Jacob Forward vs. iShares SP 500 |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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