Benchmark  United States  NYSE  10,865   5.8281  0.0537% 


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Correlation analysis between Vanguard and Fidelity

    
  
Summary
Performance
FundamentalsTechnicalsRecomendation
   Backtest
   Forecast
Investment horizon:  
  30 Days    Login   to change
  
This module allows you to analyze existing cross correlation between Vanguard InflationProtected Secs Adm and Fidelity Advisor InflProt Bond B. You can compare the effects of market volatilities on Vanguard and Fidelity 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 Vanguard with a short position of Fidelity. Please also check ongoing floating volatility patterns of Vanguard and Fidelity.
 Vanguard InflationProtected Se  vs   Fidelity Advisor InflProt Bond
Daily Returns (%)
VAIPX   FBIPX   
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, Vanguard InflationProtected Secs Adm is expected to generate 0.96 times more return on investment than Fidelity. However, Vanguard InflationProtected Secs Adm is 1.04 times less risky than Fidelity. It trades about 0.04 of its potential returns per unit of risk. Fidelity Advisor InflProt Bond B is currently generating about 0.01 per unit of risk. If you would invest  2,578  in Vanguard InflationProtected Secs Adm on June 4, 2015 and sell it today you would earn a total of  7.00  from holding Vanguard InflationProtected Secs Adm or generate 0.27% return on investment over 30 days.

Correlation Coefficient

0.97

Parameters

Time Period1 Month [change]
DirectionPositive FBIPX Moved Up vs VAIPX
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents amount of risk that can be diversified away by holding Vanguard InflationProtected Se and Fidelity Advisor InflProt Bond in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Vanguard InflationPr

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard InflationProtected Secs Adm are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Vanguard

Vanguard InflationProtected Secs I vs. Vanguard InflationProtected Secs Adm
Vanguard InflationProtected Secs Inv vs. Vanguard InflationProtected Secs Adm
PIMCO Real Return A vs. Vanguard InflationProtected Secs Adm
  

Fidelity Advisor Inf

  

Risk-adjusted Performance

Over the last 30 days Fidelity Advisor InflProt Bond B has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for Fidelity

Vanguard InflationProtected Secs I vs. Fidelity Advisor InflProt Bond B
Vanguard InflationProtected Secs Inv vs. Fidelity Advisor InflProt Bond B
Vanguard InflationProtected Secs Adm vs. Fidelity Advisor InflProt Bond B
PIMCO Real Return A vs. Fidelity Advisor InflProt Bond B