Correlation Analysis Between PowerShares Multi-Factor and Vanguard Total

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

Comparative Performance

PowerShares Multi-Factor  
0

Risk-Adjusted Performance

Over the last 30 days PowerShares Multi-Factor Large Cap Portfolio has generated negative risk-adjusted returns adding no value to investors with long positions.
Vanguard Total Stock  
0

Risk-Adjusted Performance

Over the last 30 days Vanguard Total Stock Market ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

PowerShares Multi-Factor and Vanguard Total Volatility Contrast

 Predicted Return Density 
      Returns 

PowerShares Multi-Factor Large  vs.  Vanguard Total Stock Market ET

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, PowerShares Multi-Factor Large Cap Portfolio is expected to generate 0.72 times more return on investment than Vanguard Total. However, PowerShares Multi-Factor Large Cap Portfolio is 1.39 times less risky than Vanguard Total. It trades about -0.1 of its potential returns per unit of risk. Vanguard Total Stock Market ETF is currently generating about -0.07 per unit of risk. If you would invest  2,661  in PowerShares Multi-Factor Large Cap Portfolio on November 14, 2018 and sell it today you would lose (125.40)  from holding PowerShares Multi-Factor Large Cap Portfolio or give up 4.71% of portfolio value over 30 days.

Pair Corralation between PowerShares Multi-Factor and Vanguard Total

0.52
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy91.49%
ValuesDaily Returns

Diversification Opportunities for PowerShares Multi-Factor and Vanguard Total

PowerShares Multi-Factor Large diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding PowerShares 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 PowerShares 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 PowerShares Multi-Factor Large Cap Portfolio 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 PowerShares Multi-Factor i.e. PowerShares Multi-Factor and Vanguard Total go up and down completely randomly.

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