Correlation Between Vanguard Value and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and SPDR Portfolio 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 SPDR Portfolio 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 SPDR Portfolio SP, you can compare the effects of market volatilities on Vanguard Value and SPDR Portfolio 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 SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and SPDR Portfolio.
Diversification Opportunities for Vanguard Value and SPDR Portfolio
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and SPDR is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and SPDR Portfolio SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio SP 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 SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio SP has no effect on the direction of Vanguard Value i.e., Vanguard Value and SPDR Portfolio go up and down completely randomly.
Pair Corralation between Vanguard Value and SPDR Portfolio
Considering the 90-day investment horizon Vanguard Value is expected to generate 2.36 times less return on investment than SPDR Portfolio. But when comparing it to its historical volatility, Vanguard Value Index is 2.06 times less risky than SPDR Portfolio. It trades about 0.19 of its potential returns per unit of risk. SPDR Portfolio SP is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 4,524 in SPDR Portfolio SP on August 27, 2024 and sell it today you would earn a total of 337.00 from holding SPDR Portfolio SP or generate 7.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Value Index vs. SPDR Portfolio SP
Performance |
| Timeline |
| Vanguard Value Index |
| SPDR Portfolio SP |
Vanguard Value and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and SPDR Portfolio
The main advantage of trading using opposite Vanguard Value and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, SPDR Portfolio 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 SPDR Portfolio will offset losses from the drop in SPDR Portfolio'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 |
| SPDR Portfolio vs. SPDR Russell Small | SPDR Portfolio vs. SPDR SP World | SPDR Portfolio vs. SPDR Portfolio Emerging | SPDR Portfolio vs. SPDR Portfolio 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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