Correlation Analysis Between SPDR SP and Vanguard Dividend

This module allows you to analyze existing cross correlation between SPDR SP 500 ETF and Vanguard Dividend Appreciation ETF. You can compare the effects of market volatilities on SPDR SP and Vanguard Dividend 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 Dividend. See also your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Vanguard Dividend.
Horizon     30 Days    Login   to change
Symbolsvs

SPDR SP 500 ETF  vs.  Vanguard Dividend Appreciation

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP is expected to generate 1.79 times less return on investment than Vanguard Dividend. In addition to that, SPDR SP is 1.34 times more volatile than Vanguard Dividend Appreciation ETF. It trades about 0.16 of its total potential returns per unit of risk. Vanguard Dividend Appreciation ETF is currently generating about 0.37 per unit of volatility. If you would invest  10,833  in Vanguard Dividend Appreciation ETF on August 19, 2018 and sell it today you would earn a total of  264.00  from holding Vanguard Dividend Appreciation ETF or generate 2.44% return on investment over 30 days.

Pair Corralation between SPDR SP and Vanguard Dividend

0.64
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 ETF and Vanguard Dividend Appreciation in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Dividend 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 500 ETF are associated (or correlated) with Vanguard Dividend. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Dividend has no effect on the direction of SPDR SP i.e. SPDR SP and Vanguard Dividend go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
SPDR SP 500  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 ETF are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.
Vanguard Dividend  
24 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Dividend Appreciation ETF are ranked lower than 24 (%) of all global equities and portfolios over the last 30 days.

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