Pair Correlation Between Short Duration and Vanguard Short

This module allows you to analyze existing cross correlation between Short Duration TR Tactical ETF SPDR and Vanguard Short Term Bond ETF. You can compare the effects of market volatilities on Short Duration and Vanguard Short 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 Short Duration with a short position of Vanguard Short. See also your portfolio center. Please also check ongoing floating volatility patterns of Short Duration and Vanguard Short.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Short Duration TR Tactical ETF  vs   Vanguard Short Term Bond ETF
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Short Duration TR Tactical ETF SPDR is expected to generate 1.66 times more return on investment than Vanguard Short. However, Short Duration is 1.66 times more volatile than Vanguard Short Term Bond ETF. It trades about -0.1 of its potential returns per unit of risk. Vanguard Short Term Bond ETF is currently generating about -0.28 per unit of risk. If you would invest  4,944  in Short Duration TR Tactical ETF SPDR on December 18, 2017 and sell it today you would lose (9)  from holding Short Duration TR Tactical ETF SPDR or give up 0.18% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Short Duration and Vanguard Short
0.5

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Short Duration TR

  
0 

Risk-Adjusted Performance

Over the last 30 days Short Duration TR Tactical ETF SPDR has generated negative risk-adjusted returns adding no value to investors with long positions.

Vanguard Short Term

  
0 

Risk-Adjusted Performance

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