Correlation Between Vanguard Small and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both Vanguard Small and Vanguard FTSE 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 Small and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Value and Vanguard FTSE All World, you can compare the effects of market volatilities on Vanguard Small and Vanguard FTSE 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 Small with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small and Vanguard FTSE.
Diversification Opportunities for Vanguard Small and Vanguard FTSE
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Vanguard is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value and Vanguard FTSE All World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE All and Vanguard Small 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 Small Cap Value are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE All has no effect on the direction of Vanguard Small i.e., Vanguard Small and Vanguard FTSE go up and down completely randomly.
Pair Corralation between Vanguard Small and Vanguard FTSE
Considering the 90-day investment horizon Vanguard Small Cap Value is expected to under-perform the Vanguard FTSE. In addition to that, Vanguard Small is 1.15 times more volatile than Vanguard FTSE All World. It trades about -0.19 of its total potential returns per unit of risk. Vanguard FTSE All World is currently generating about -0.08 per unit of volatility. If you would invest 11,622 in Vanguard FTSE All World on February 2, 2024 and sell it today you would lose (162.00) from holding Vanguard FTSE All World or give up 1.39% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Vanguard Small Cap Value vs. Vanguard FTSE All World
Performance |
Timeline |
Vanguard Small Cap |
Vanguard FTSE All |
Vanguard Small and Vanguard FTSE Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Vanguard Small and Vanguard FTSE
The main advantage of trading using opposite Vanguard Small and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small position performs unexpectedly, Vanguard FTSE 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 FTSE will offset losses from the drop in Vanguard FTSE's long position.Vanguard Small vs. WisdomTree Emerging Markets | Vanguard Small vs. WisdomTree Interest Rate | Vanguard Small vs. WisdomTree Japan Hedged | Vanguard Small vs. WisdomTree Interest Rate |
Vanguard FTSE vs. Schwab Emerging Markets | Vanguard FTSE vs. Schwab International Equity | Vanguard FTSE vs. Schwab Fundamental International | Vanguard FTSE vs. Schwab Fundamental International |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Other Complementary Tools
ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
Equity Valuation Check real value of public entities based on technical and fundamental data | |
Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance |