Correlation Between Vanguard Value and L Abbett
Can any of the company-specific risk be diversified away by investing in both Vanguard Value and L Abbett 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 L Abbett 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 L Abbett Fundamental, you can compare the effects of market volatilities on Vanguard Value and L Abbett 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 L Abbett. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and L Abbett.
Diversification Opportunities for Vanguard Value and L Abbett
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and LAVVX is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and L Abbett Fundamental in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on L Abbett Fundamental 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 L Abbett. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of L Abbett Fundamental has no effect on the direction of Vanguard Value i.e., Vanguard Value and L Abbett go up and down completely randomly.
Pair Corralation between Vanguard Value and L Abbett
Assuming the 90 days horizon Vanguard Value Index is expected to under-perform the L Abbett. In addition to that, Vanguard Value is 1.04 times more volatile than L Abbett Fundamental. It trades about -0.09 of its total potential returns per unit of risk. L Abbett Fundamental is currently generating about -0.08 per unit of volatility. If you would invest 1,594 in L Abbett Fundamental on September 13, 2024 and sell it today you would lose (13.00) from holding L Abbett Fundamental or give up 0.82% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Value Index vs. L Abbett Fundamental
Performance |
| Timeline |
| Vanguard Value Index |
| L Abbett Fundamental |
Vanguard Value and L Abbett Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Value and L Abbett
The main advantage of trading using opposite Vanguard Value and L Abbett positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, L Abbett 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 L Abbett will offset losses from the drop in L Abbett's long position.| Vanguard Value vs. Vanguard Small Cap Value | Vanguard Value vs. Vanguard Growth Index | Vanguard Value vs. Vanguard Mid Cap Value | Vanguard Value vs. Vanguard Small Cap Index |
| L Abbett vs. Lord Abbett Trust | L Abbett vs. Lord Abbett Trust | L Abbett vs. Lord Abbett Focused | L Abbett vs. Floating Rate Fund |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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