Correlation Between Dunham Large and Vanguard Value

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Can any of the company-specific risk be diversified away by investing in both Dunham Large and Vanguard Value at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Dunham Large and Vanguard Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dunham Large Cap and Vanguard Value Index, you can compare the effects of market volatilities on Dunham Large and Vanguard Value 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 Dunham Large with a short position of Vanguard Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dunham Large and Vanguard Value.

Diversification Opportunities for Dunham Large and Vanguard Value

0.97
  Correlation Coefficient

Almost no diversification

The 3 months correlation between Dunham and Vanguard is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Dunham Large Cap and VANGUARD VALUE INDEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value Index and Dunham Large 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 Dunham Large Cap are associated (or correlated) with Vanguard Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Value Index has no effect on the direction of Dunham Large i.e., Dunham Large and Vanguard Value go up and down completely randomly.

Pair Corralation between Dunham Large and Vanguard Value

Assuming the 90 days horizon Dunham Large is expected to generate 1.25 times less return on investment than Vanguard Value. But when comparing it to its historical volatility, Dunham Large Cap is 1.38 times less risky than Vanguard Value. It trades about 0.47 of its potential returns per unit of risk. Vanguard Value Index is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest  6,033  in Vanguard Value Index on December 29, 2023 and sell it today you would earn a total of  298.00  from holding Vanguard Value Index or generate 4.94% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Dunham Large Cap  vs.  VANGUARD VALUE INDEX

 Performance 
       Timeline  
Dunham Large Cap 

Risk-Adjusted Performance

20 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Dunham Large Cap are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Dunham Large may actually be approaching a critical reversion point that can send shares even higher in April 2024.
Vanguard Value Index 

Risk-Adjusted Performance

20 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Value Index are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Vanguard Value may actually be approaching a critical reversion point that can send shares even higher in April 2024.

Dunham Large and Vanguard Value Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Dunham Large and Vanguard Value

The main advantage of trading using opposite Dunham Large and Vanguard Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dunham Large position performs unexpectedly, Vanguard Value can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Vanguard Value will offset losses from the drop in Vanguard Value's long position.
The idea behind Dunham Large Cap and Vanguard Value Index pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.

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