Pair Correlation Between Vanguard InflationProtect and Fidelity Advisor

  
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 InflationProtect and Fidelity Advisor 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 InflationProtect with a short position of Fidelity Advisor. Please also check ongoing floating volatility patterns of Vanguard InflationProtect and Fidelity Advisor.
 Vanguard InflationProtected Se  vs   Fidelity Advisor InflProt Bond
Daily Returns (%)
VAIPX   FBIPX   
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, Vanguard InflationProtect is expected to generate 1.22 times less return on investment than Fidelity Advisor. In addition to that, Vanguard InflationProtect is 1.04 times more volatile than Fidelity Advisor InflProt Bond B. It trades about 0.26 of its total potential returns per unit of risk. Fidelity Advisor InflProt Bond B is currently generating about 0.33 per unit of volatility. If you would invest  1,121  in Fidelity Advisor InflProt Bond B on January 15, 2016 and sell it today you would earn a total of  16.00  from holding Fidelity Advisor InflProt Bond B or generate 1.43% return on investment over 30 days.

Correlation Coefficient

0.94

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.24%
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 17 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Vanguard InflationProtect

  

Fidelity Advisor Inf

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Fidelity Advisor InflProt Bond B are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Fidelity Advisor