Correlation Between Vanguard FTSE and SPDR SP
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and SPDR SP 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 FTSE and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Developed and SPDR SP Materials, you can compare the effects of market volatilities on Vanguard FTSE and SPDR SP 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 FTSE with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and SPDR SP.
Diversification Opportunities for Vanguard FTSE and SPDR SP
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Vanguard and SPDR is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and SPDR SP Materials in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Materials and Vanguard FTSE 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 FTSE Developed are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP Materials has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and SPDR SP go up and down completely randomly.
Pair Corralation between Vanguard FTSE and SPDR SP
Assuming the 90 days trading horizon Vanguard FTSE Developed is expected to generate 0.84 times more return on investment than SPDR SP. However, Vanguard FTSE Developed is 1.19 times less risky than SPDR SP. It trades about 0.21 of its potential returns per unit of risk. SPDR SP Materials is currently generating about -0.15 per unit of risk. If you would invest 4,682 in Vanguard FTSE Developed on September 14, 2024 and sell it today you would earn a total of 134.00 from holding Vanguard FTSE Developed or generate 2.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Developed vs. SPDR SP Materials
Performance |
| Timeline |
| Vanguard FTSE Developed |
| SPDR SP Materials |
Vanguard FTSE and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and SPDR SP
The main advantage of trading using opposite Vanguard FTSE and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.| Vanguard FTSE vs. Vanguard USD Corporate | Vanguard FTSE vs. Vanguard Global Aggregate | Vanguard FTSE vs. Vanguard USD Corporate | Vanguard FTSE vs. Vanguard FTSE All World |
| SPDR SP vs. Vanguard FTSE Developed | SPDR SP vs. Leverage Shares 2x | SPDR SP vs. Amundi Index Solutions | SPDR SP vs. Amundi Index Solutions |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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