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 (%) 
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, Vanguard InflationProtected Secs Adm is expected to generate 1.03 times more return on investment than Fidelity Advisor. However, Vanguard InflationProtect is 1.03 times more volatile than Fidelity Advisor InflProt Bond B. It trades about 0.36 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  2,622  in Vanguard InflationProtected Secs Adm on June 1, 2016 and sell it today you would earn a total of  60.00  from holding Vanguard InflationProtected Secs Adm or generate 2.29% return on investment over 30 days.

Correlation Coefficient

0.82

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy78.26%
ValuesDaily Returns
  

Diversification

Very poor 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
 0.24  0.09  0.54 (10.60) 0.00  0.47 (0.34) 0.57 (0.26) 0.95 
 0.21  0.03  0.32  0.67  0.00  0.28 (0.32) 0.43 (0.26) 0.95 

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 23 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Vanguard InflationProtect

  

Fidelity Advisor Inf

  

Pair trading matchups for Fidelity Advisor