Correlation Between Vanguard Global and Vanguard MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard Global and Vanguard MSCI 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 Global and Vanguard MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Global Value and Vanguard MSCI International, you can compare the effects of market volatilities on Vanguard Global and Vanguard MSCI 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 Global with a short position of Vanguard MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Global and Vanguard MSCI.
Diversification Opportunities for Vanguard Global and Vanguard MSCI
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and Vanguard is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Global Value and Vanguard MSCI International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard MSCI Intern and Vanguard Global 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 Global Value are associated (or correlated) with Vanguard MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard MSCI Intern has no effect on the direction of Vanguard Global i.e., Vanguard Global and Vanguard MSCI go up and down completely randomly.
Pair Corralation between Vanguard Global and Vanguard MSCI
Assuming the 90 days trading horizon Vanguard Global Value is expected to generate 1.23 times more return on investment than Vanguard MSCI. However, Vanguard Global is 1.23 times more volatile than Vanguard MSCI International. It trades about 0.23 of its potential returns per unit of risk. Vanguard MSCI International is currently generating about 0.12 per unit of risk. If you would invest 6,882 in Vanguard Global Value on August 25, 2024 and sell it today you would earn a total of 568.00 from holding Vanguard Global Value or generate 8.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Global Value vs. Vanguard MSCI International
Performance |
| Timeline |
| Vanguard Global Value |
| Vanguard MSCI Intern |
Vanguard Global and Vanguard MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Global and Vanguard MSCI
The main advantage of trading using opposite Vanguard Global and Vanguard MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Global position performs unexpectedly, Vanguard MSCI 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 Vanguard MSCI will offset losses from the drop in Vanguard MSCI's long position.| Vanguard Global vs. Betashares Asia Technology | Vanguard Global vs. CD Private Equity | Vanguard Global vs. BetaShares Australia 200 | Vanguard Global vs. Australian High Interest |
| Vanguard MSCI vs. ETFS Morningstar Global | Vanguard MSCI vs. BetaShares Geared Equity | Vanguard MSCI vs. VanEck Vectors Australian | Vanguard MSCI vs. SPDR SPASX 200 |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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