Correlation Between Dfa Intermediate and Vanguard Gnma

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

By analyzing existing cross correlation between Dfa Intermediate Government and Vanguard Gnma Fund, you can compare the effects of market volatilities on Dfa Intermediate and Vanguard Gnma 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 Dfa Intermediate with a short position of Vanguard Gnma. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dfa Intermediate and Vanguard Gnma.

Diversification Opportunities for Dfa Intermediate and Vanguard Gnma

0.85

Correlation Coefficient

Dfa Intermediate  Vanguard Gnma

Very poor diversification

The 3 months correlation between Dfa and Vanguard is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Dfa Intermediate Government and Vanguard Gnma Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Gnma and Dfa Intermediate 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 Dfa Intermediate Government are associated (or correlated) with Vanguard Gnma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Gnma has no effect on the direction of Dfa Intermediate i.e., Dfa Intermediate and Vanguard Gnma go up and down completely randomly.

Pair Corralation between Dfa Intermediate and Vanguard Gnma

Assuming the 90 days horizon Dfa Intermediate Government is expected to under-perform the Vanguard Gnma. But the mutual fund apears to be less risky and, when comparing its historical volatility, Dfa Intermediate Government is 1.02 times less risky than Vanguard Gnma. The mutual fund trades about -0.05 of its potential returns per unit of risk. The Vanguard Gnma Fund is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  916.00  in Vanguard Gnma Fund on October 24, 2024 and sell it today you would lose (4.00) from holding Vanguard Gnma Fund or give up 0.44% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Dfa Intermediate Government  vs.  Vanguard Gnma Fund

Dfa Intermediate Gov

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dfa Intermediate Government has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Dfa Intermediate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Vanguard Gnma

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vanguard Gnma Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward-looking indicators, Vanguard Gnma is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Dfa Intermediate and Vanguard Gnma

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

The idea behind Dfa Intermediate Government and Vanguard Gnma Fund 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.

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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.