Correlation Between Commodities Strategy and Vanguard Value
Can any of the company-specific risk be diversified away by investing in both Commodities Strategy 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 Commodities Strategy and Vanguard Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commodities Strategy Fund and Vanguard Value Index, you can compare the effects of market volatilities on Commodities Strategy 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 Commodities Strategy with a short position of Vanguard Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commodities Strategy and Vanguard Value.
Diversification Opportunities for Commodities Strategy and Vanguard Value
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Commodities and Vanguard is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund 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 Commodities Strategy 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 Commodities Strategy Fund 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 Commodities Strategy i.e., Commodities Strategy and Vanguard Value go up and down completely randomly.
Pair Corralation between Commodities Strategy and Vanguard Value
Assuming the 90 days horizon Commodities Strategy Fund is expected to generate 0.94 times more return on investment than Vanguard Value. However, Commodities Strategy Fund is 1.07 times less risky than Vanguard Value. It trades about 0.19 of its potential returns per unit of risk. Vanguard Value Index is currently generating about -0.08 per unit of risk. If you would invest 3,045 in Commodities Strategy Fund on January 25, 2024 and sell it today you would earn a total of 84.00 from holding Commodities Strategy Fund or generate 2.76% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Commodities Strategy Fund vs. Vanguard Value Index
Performance |
Timeline |
Commodities Strategy |
Vanguard Value Index |
Commodities Strategy and Vanguard Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Commodities Strategy and Vanguard Value
The main advantage of trading using opposite Commodities Strategy and Vanguard Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commodities Strategy 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.Commodities Strategy vs. Commodityrealreturn Strategy Fund | Commodities Strategy vs. Pimco Moditiesplus Strategy |
Vanguard Value vs. Vanguard Value Index | Vanguard Value vs. Dodge Cox Stock | Vanguard Value vs. American Funds American | Vanguard Value vs. American Funds American |
Check out your portfolio center.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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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