Correlation Between Vanguard Value and Overlay Shares
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and Overlay Shares 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 Overlay Shares 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 Overlay Shares Core, you can compare the effects of market volatilities on Vanguard Value and Overlay Shares 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 Overlay Shares. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and Overlay Shares.
Diversification Opportunities for Vanguard Value and Overlay Shares
-0.32 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Vanguard and Overlay is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and Overlay Shares Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Overlay Shares Core 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 Overlay Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Overlay Shares Core has no effect on the direction of Vanguard Value i.e., Vanguard Value and Overlay Shares go up and down completely randomly.
Pair Corralation between Vanguard Value and Overlay Shares
Considering the 90-day investment horizon Vanguard Value Index is expected to generate 2.54 times more return on investment than Overlay Shares. However, Vanguard Value is 2.54 times more volatile than Overlay Shares Core. It trades about 0.11 of its potential returns per unit of risk. Overlay Shares Core is currently generating about -0.08 per unit of risk. If you would invest 17,546 in Vanguard Value Index on August 24, 2024 and sell it today you would earn a total of 331.00 from holding Vanguard Value Index or generate 1.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Value Index vs. Overlay Shares Core
Performance |
| Timeline |
| Vanguard Value Index |
| Overlay Shares Core |
Vanguard Value and Overlay Shares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and Overlay Shares
The main advantage of trading using opposite Vanguard Value and Overlay Shares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, Overlay Shares 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 Overlay Shares will offset losses from the drop in Overlay Shares' 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 |
| Overlay Shares vs. Hartford Short Duration | Overlay Shares vs. American Century Diversified | Overlay Shares vs. First Trust Short | Overlay Shares vs. HUMANA INC |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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