Correlation Between Vanguard Large and DoubleLine Shiller

Can any of the company-specific risk be diversified away by investing in both Vanguard Large 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 Large 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 Large Cap Index and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on Vanguard Large 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 Large with a short position of DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Large and DoubleLine Shiller.

Diversification Opportunities for Vanguard Large and DoubleLine Shiller

0.94

Correlation Coefficient

Vanguard Large  DoubleLine Shiller

Almost no diversification

The 3 months correlation between Vanguard and DoubleLine is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Large Cap Index 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 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 Vanguard Large Cap Index 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 Large i.e., Vanguard Large and DoubleLine Shiller go up and down completely randomly.

Pair Corralation between Vanguard Large and DoubleLine Shiller

Allowing for the 90-day total investment horizon Vanguard Large Cap Index is expected to generate 0.95 times more return on investment than DoubleLine Shiller. However, Vanguard Large Cap Index is 1.05 times less risky than DoubleLine Shiller. It trades about 0.12 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about 0.09 per unit of risk. If you would invest  16,911  in Vanguard Large Cap Index on September 24, 2024 and sell it today you would earn a total of  10,407  from holding Vanguard Large Cap Index or generate 61.54% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	99.8%
Values	Daily Returns

Vanguard Large Cap Index  vs.  DoubleLine Shiller CAPE

Vanguard Large Cap

Risk-Adjusted Performance

6 of 100

Modest

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

DoubleLine Shiller CAPE

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 4 (%) 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 latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Vanguard Large and DoubleLine Shiller

The main advantage of trading using opposite Vanguard Large and DoubleLine Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Large 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 Large Cap Index 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.