Correlation Between Vanguard Value and Lsv Us

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

By analyzing existing cross correlation between Vanguard Value Index and Lsv Managed Volatility, you can compare the effects of market volatilities on Vanguard Value and Lsv Us 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 Lsv Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Value and Lsv Us.

Diversification Opportunities for Vanguard Value and Lsv Us

0.94

Correlation Coefficient

Vanguard Value  Lsv Us

Almost no diversification

The 3 months correlation between Vanguard and Lsv is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index and Lsv Managed Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lsv Managed Volatility 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 Index are associated (or correlated) with Lsv Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lsv Managed Volatility has no effect on the direction of Vanguard Value i.e., Vanguard Value and Lsv Us go up and down completely randomly.

Pair Corralation between Vanguard Value and Lsv Us

Assuming the 90 days horizon Vanguard Value is expected to generate 1.06 times less return on investment than Lsv Us. In addition to that, Vanguard Value is 1.11 times more volatile than Lsv Managed Volatility. It trades about 0.13 of its total potential returns per unit of risk. Lsv Managed Volatility is currently generating about 0.15 per unit of volatility. If you would invest  1,194  in Lsv Managed Volatility on August 30, 2024 and sell it today you would earn a total of  70.00  from holding Lsv Managed Volatility or generate 5.86% return on investment over 90 days.

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

Vanguard Value Index  vs.  Lsv Managed Volatility

Vanguard Value Index

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Value Index are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Vanguard Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Lsv Managed Volatility

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Lsv Managed Volatility are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong primary indicators, Lsv Us is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Vanguard Value and Lsv Us

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

The idea behind Vanguard Value Index and Lsv Managed Volatility 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.