Correlation Analysis Between PIMCO RAFI and Vanguard FTSE

This module allows you to analyze existing cross correlation between PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF and Vanguard FTSE Emerging Markets ETF. You can compare the effects of market volatilities on PIMCO RAFI 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 PIMCO RAFI with a short position of Vanguard FTSE. See also your portfolio center. Please also check ongoing floating volatility patterns of PIMCO RAFI and Vanguard FTSE.
Horizon     30 Days    Login   to change
Symbolsvs

PIMCO RAFI Dyn Mlt Fctr Emrg M  vs.  Vanguard FTSE Emerging Markets

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is expected to generate 0.69 times more return on investment than Vanguard FTSE. However, PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF is 1.44 times less risky than Vanguard FTSE. It trades about -0.22 of its potential returns per unit of risk. Vanguard FTSE Emerging Markets ETF is currently generating about -0.27 per unit of risk. If you would invest  2,395  in PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF on September 20, 2018 and sell it today you would lose (132.00)  from holding PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF or give up 5.51% of portfolio value over 30 days.

Pair Corralation between PIMCO RAFI and Vanguard FTSE

0.63
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy88.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding PIMCO RAFI Dyn Mlt Fctr Emrg M and Vanguard FTSE Emerging Markets in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Emerging and PIMCO RAFI 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 PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF 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 Emerging has no effect on the direction of PIMCO RAFI i.e. PIMCO RAFI and Vanguard FTSE go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
PIMCO RAFI Dyn  
0 

Risk-Adjusted Performance

Over the last 30 days PIMCO RAFI Dyn Mlt Fctr Emrg Mkts Eq ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Vanguard FTSE Emerging  
0 

Risk-Adjusted Performance

Over the last 30 days Vanguard FTSE Emerging Markets ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

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