Correlation Between Vanguard Value and SPDR SP

By analyzing existing cross correlation between Vanguard Value ETF and SPDR SP 500, you can compare the effects of market volatilities on Vanguard Value and SPDR SP 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 Value with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and SPDR SP.

Specify exactly 2 symbols:

Can any of the company-specific risk be diversified away by investing in both Vanguard Value and SPDR SP 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 Vanguard Value and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for Vanguard Value and SPDR SP

0.98
  Correlation Coefficient
Vanguard Value ETF
SPDR SP 500

Almost no diversification

The 3 months correlation between Vanguard and SPDR SP is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value ETF and SPDR SP 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 and Vanguard Value 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 Vanguard Value ETF are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of Vanguard Value i.e., Vanguard Value and SPDR SP go up and down completely randomly.

Pair Corralation between Vanguard Value and SPDR SP

Considering the 90-day investment horizon Vanguard Value is expected to generate 1.08 times less return on investment than SPDR SP. But when comparing it to its historical volatility, Vanguard Value ETF is 1.18 times less risky than SPDR SP. It trades about 0.56 of its potential returns per unit of risk. SPDR SP 500 is currently generating about 0.51 of returns per unit of risk over similar time horizon. If you would invest  4,030  in SPDR SP 500 on October 19, 2021 and sell it today you would earn a total of  220.00  from holding SPDR SP 500 or generate 5.46% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Vanguard Value ETF  vs.  SPDR SP 500

 Performance (%) 
      Timeline 
Vanguard Value ETF 
Vanguard Performance
8 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Value ETF are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Vanguard Value is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Vanguard Price Channel

SPDR SP 500 
SPDR SP Performance
6 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, SPDR SP is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

SPDR SP Price Channel

Vanguard Value and SPDR SP Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Vanguard Value and SPDR SP

The main advantage of trading using opposite Vanguard Value and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Value position performs unexpectedly, SPDR SP 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 SPDR SP will offset losses from the drop in SPDR SP's long position.

Vanguard Value ETF

Pair trading matchups for Vanguard Value

The idea behind Vanguard Value ETF and SPDR SP 500 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.

SPDR SP 500

Pair trading matchups for SPDR SP

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 Global Correlations module to find global opportunities by holding instruments from different markets.

Other Complementary Tools

Watchlist Optimization
Optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm
Go
Global Correlations
Find global opportunities by holding instruments from different markets
Go
Correlation Analysis
Reduce portfolio risk simply by holding instruments which are not perfectly correlated
Go
Cryptocurrency Center
Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency
Go
Insider Screener
Find insiders across different sectors to evaluate their impact on performance
Go
Idea Analyzer
Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
Go
Bollinger Bands
Use Bollinger Bands indicator to analyze target price for a given investing horizon
Go
Commodity Channel Index
Use Commodity Channel Index to analyze current equity momentum
Go