Correlation Between Vanguard FTSE and DoubleLine Shiller

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

By analyzing existing cross correlation between Vanguard FTSE Developed and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on Vanguard FTSE and DoubleLine Shiller 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 FTSE with a short position of DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and DoubleLine Shiller.

Diversification Opportunities for Vanguard FTSE and DoubleLine Shiller

-0.29

Correlation Coefficient

Vanguard FTSE  DoubleLine Shiller

Very good diversification

The 3 months correlation between Vanguard and DoubleLine is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and DoubleLine Shiller CAPE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DoubleLine Shiller CAPE and Vanguard FTSE 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 FTSE Developed are associated (or correlated) with DoubleLine Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DoubleLine Shiller CAPE has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and DoubleLine Shiller go up and down completely randomly.

Pair Corralation between Vanguard FTSE and DoubleLine Shiller

Considering the 90-day investment horizon Vanguard FTSE Developed is expected to generate 0.96 times more return on investment than DoubleLine Shiller. However, Vanguard FTSE Developed is 1.04 times less risky than DoubleLine Shiller. It trades about -0.31 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about -0.34 per unit of risk. If you would invest  4,985  in Vanguard FTSE Developed on October 12, 2024 and sell it today you would lose (232.00) from holding Vanguard FTSE Developed or give up 4.65% of portfolio value over 90 days.

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

Vanguard FTSE Developed  vs.  DoubleLine Shiller CAPE

Vanguard FTSE Developed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vanguard FTSE Developed has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest unfluctuating performance, the Etf's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

DoubleLine Shiller CAPE

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, DoubleLine Shiller is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Vanguard FTSE and DoubleLine Shiller

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

The idea behind Vanguard FTSE Developed and DoubleLine Shiller CAPE 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.