Correlation Between SPDR SP and Vanguard Value
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Vanguard Value 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 SPDR SP and Vanguard Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP Dividend and Vanguard Value Index, you can compare the effects of market volatilities on SPDR SP and Vanguard Value 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 SPDR SP with a short position of Vanguard Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Vanguard Value.
Diversification Opportunities for SPDR SP and Vanguard Value
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between SPDR and Vanguard is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Dividend and Vanguard Value Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value Index and SPDR SP 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 SPDR SP Dividend are associated (or correlated) with Vanguard Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Value Index has no effect on the direction of SPDR SP i.e., SPDR SP and Vanguard Value go up and down completely randomly.
Pair Corralation between SPDR SP and Vanguard Value
Considering the 90-day investment horizon SPDR SP Dividend is expected to generate 1.15 times more return on investment than Vanguard Value. However, SPDR SP is 1.15 times more volatile than Vanguard Value Index. It trades about -0.03 of its potential returns per unit of risk. Vanguard Value Index is currently generating about -0.13 per unit of risk. If you would invest 12,852 in SPDR SP Dividend on January 23, 2024 and sell it today you would lose (80.00) from holding SPDR SP Dividend or give up 0.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP Dividend vs. Vanguard Value Index
Performance |
| Timeline |
| SPDR SP Dividend |
| Vanguard Value Index |
SPDR SP and Vanguard Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Vanguard Value
The main advantage of trading using opposite SPDR SP and Vanguard Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Vanguard Value 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 Value will offset losses from the drop in Vanguard Value's long position.| SPDR SP vs. Vanguard Quality Factor | SPDR SP vs. Vanguard Momentum Factor | SPDR SP vs. Vanguard Multifactor | SPDR SP vs. Vanguard Minimum Volatility |
| Vanguard Value vs. Northern Lights | Vanguard Value vs. HUMANA INC | Vanguard Value vs. Aquagold International | Vanguard Value vs. Barloworld Ltd ADR |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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