Correlation Between Vanguard FTSE and Global X
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and Global X 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 Global X 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 Global X Data, you can compare the effects of market volatilities on Vanguard FTSE and Global X 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 Global X. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and Global X.
Diversification Opportunities for Vanguard FTSE and Global X
0.1 | Correlation Coefficient |
Average diversification
The 3 months correlation between Vanguard and Global is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and Global X Data in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global X Data 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 Global X. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global X Data has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and Global X go up and down completely randomly.
Pair Corralation between Vanguard FTSE and Global X
Assuming the 90 days trading horizon Vanguard FTSE is expected to generate 2.66 times less return on investment than Global X. But when comparing it to its historical volatility, Vanguard FTSE Developed is 1.42 times less risky than Global X. It trades about 0.03 of its potential returns per unit of risk. Global X Data is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,206 in Global X Data on September 12, 2024 and sell it today you would earn a total of 350.00 from holding Global X Data or generate 29.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Developed vs. Global X Data
Performance |
| Timeline |
| Vanguard FTSE Developed |
| Global X Data |
Vanguard FTSE and Global X Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and Global X
The main advantage of trading using opposite Vanguard FTSE and Global X positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, Global X 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 Global X will offset losses from the drop in Global X's long position.| Vanguard FTSE vs. Leverage Shares 2x | Vanguard FTSE vs. Amundi Index Solutions | Vanguard FTSE vs. Amundi Index Solutions | Vanguard FTSE vs. Albion Venture Capital |
| Global X vs. Vanguard FTSE Developed | Global X vs. Leverage Shares 2x | Global X vs. Amundi Index Solutions | Global X 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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