Pair Correlation Between SPDR SP and Vanguard Large

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

SPDR SP 500 ETF  vs.  Vanguard Large Cap ETF

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP 500 ETF is expected to under-perform the Vanguard Large. But the etf apears to be less risky and, when comparing its historical volatility, SPDR SP 500 ETF is 1.02 times less risky than Vanguard Large. The etf trades about -0.06 of its potential returns per unit of risk. The Vanguard Large Cap ETF is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  12,628  in Vanguard Large Cap ETF on March 25, 2018 and sell it today you would lose (364.00)  from holding Vanguard Large Cap ETF or give up 2.88% of portfolio value over 30 days.

Pair Corralation between SPDR SP and Vanguard Large

1.0
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy97.62%
ValuesDaily Returns

Diversification

No risk reduction

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

Comparative Volatility

 Predicted Return Density 
      Returns 
SPDR SP 500  
0 

Risk-Adjusted Performance

Over the last 30 days SPDR SP 500 ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Vanguard Large Cap  
0 

Risk-Adjusted Performance

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

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.