Correlation Analysis Between SPDR DoubleLine and Vanguard Short

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

SPDR DoubleLine Shrt Term TR T  vs.  Vanguard Short Term Bond ETF

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, SPDR DoubleLine Shrt Term TR Tact ETF is expected to under-perform the Vanguard Short. In addition to that, SPDR DoubleLine is 1.64 times more volatile than Vanguard Short Term Bond ETF. It trades about -0.03 of its total potential returns per unit of risk. Vanguard Short Term Bond ETF is currently generating about 0.1 per unit of volatility. If you would invest  7,782  in Vanguard Short Term Bond ETF on November 12, 2018 and sell it today you would earn a total of  26.30  from holding Vanguard Short Term Bond ETF or generate 0.34% return on investment over 30 days.

Pair Corralation between SPDR DoubleLine and Vanguard Short

-0.09
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy97.62%
ValuesDaily Returns

Diversification

SPDR DoubleLine Shrt Term TR T diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding SPDR DoubleLine Shrt Term TR T 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 SPDR DoubleLine 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 DoubleLine Shrt Term TR Tact ETF 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 SPDR DoubleLine i.e. SPDR DoubleLine and Vanguard Short go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
SPDR DoubleLine Shrt  
0

Risk-Adjusted Performance

Over the last 30 days SPDR DoubleLine Shrt Term TR Tact ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Vanguard Short Term  
6

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Short Term Bond ETF are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

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