Pair Correlation Between Guggenheim Multi-Factor and Vanguard Total

This module allows you to analyze existing cross correlation between Guggenheim Multi-Factor Large Cap and Vanguard Total Stock Market ETF. You can compare the effects of market volatilities on Guggenheim Multi-Factor and Vanguard Total 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 Guggenheim Multi-Factor with a short position of Vanguard Total. See also your portfolio center. Please also check ongoing floating volatility patterns of Guggenheim Multi-Factor and Vanguard Total.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Guggenheim Multi-Factor Large   vs   Vanguard Total Stock Market ET
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Guggenheim Multi-Factor Large Cap is expected to generate 1.8 times more return on investment than Vanguard Total. However, Guggenheim Multi-Factor is 1.8 times more volatile than Vanguard Total Stock Market ETF. It trades about 0.42 of its potential returns per unit of risk. Vanguard Total Stock Market ETF is currently generating about 0.34 per unit of risk. If you would invest  2,691  in Guggenheim Multi-Factor Large Cap on December 18, 2017 and sell it today you would earn a total of  117.89  from holding Guggenheim Multi-Factor Large Cap or generate 4.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Guggenheim Multi-Factor and Vanguard Total
0.81

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy75.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Multi-Factor Large and Vanguard Total Stock Market ET in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Total Stock and Guggenheim Multi-Factor 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 Guggenheim Multi-Factor Large Cap are associated (or correlated) with Vanguard Total. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Total Stock has no effect on the direction of Guggenheim Multi-Factor i.e. Guggenheim Multi-Factor and Vanguard Total go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Vanguard Total Stock

  
22 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Total Stock Market ETF are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.