Correlation Analysis Between SPDR SP and Vanguard Value

This module allows you to analyze existing cross correlation between SPDR SP Dividend ETF and Vanguard Value ETF. 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. See also your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Vanguard Value.
 Time Horizon     30 Days    Login   to change
Symbolsvs

SPDR SP Dividend ETF  vs.  Vanguard Value ETF

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP Dividend ETF is expected to generate 0.84 times more return on investment than Vanguard Value. However, SPDR SP Dividend ETF is 1.19 times less risky than Vanguard Value. It trades about 0.13 of its potential returns per unit of risk. Vanguard Value ETF is currently generating about 0.05 per unit of risk. If you would invest  9,310  in SPDR SP Dividend ETF on June 17, 2018 and sell it today you would earn a total of  105.00  from holding SPDR SP Dividend ETF or generate 1.13% return on investment over 30 days.

Pair Corralation between SPDR SP and Vanguard Value

0.78
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Dividend ETF and Vanguard Value ETF in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value ETF 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 ETF 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 ETF has no effect on the direction of SPDR SP i.e. SPDR SP and Vanguard Value go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
SPDR SP Dividend  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP Dividend ETF are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.
Vanguard Value ETF  
3 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Value ETF are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

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