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 InflationProtected Secs Adm is expected to generate 0.93 times more return on investment than Fidelity Advisor. However, Vanguard InflationProtected Secs Adm is 1.08 times less risky than Fidelity Advisor. It trades about -0.11 of its potential returns per unit of risk. Fidelity Advisor InflProt Bond B is currently generating about -0.18 per unit of risk. If you would invest  2,641  in Vanguard InflationProtected Secs Adm on April 29, 2016 and sell it today you would lose (16.00) from holding Vanguard InflationProtected Secs Adm or give up 0.61% of portfolio value over 30 days.

Correlation Coefficient

0.93

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy77.27%
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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.19 (0.04) 0.00  0.37  0.00 (0.10) 0.00  0.27 (0.45) 1.02 
 0.21 (0.01) 0.00  0.55  0.00 (0.0042) 0.00  0.52 (0.52) 1.29 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Vanguard InflationPr

  

Risk-adjusted Performance

Over the last 30 days Vanguard InflationProtected Secs Adm has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for Vanguard InflationProtect

  

Fidelity Advisor Inf

  

Pair trading matchups for Fidelity Advisor