Correlation Between Vanguard Total and Dimensional Sustainability

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

By analyzing existing cross correlation between Vanguard Total Stock and Dimensional Sustainability Core, you can compare the effects of market volatilities on Vanguard Total and Dimensional Sustainability 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 Total with a short position of Dimensional Sustainability. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Total and Dimensional Sustainability.

Diversification Opportunities for Vanguard Total and Dimensional Sustainability

1.0

Correlation Coefficient

Vanguard Total  Dimensional Sustainability

No risk reduction

The 3 months correlation between Vanguard and Dimensional is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total Stock and Dimensional Sustainability Cor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Sustainability and Vanguard Total 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 Total Stock are associated (or correlated) with Dimensional Sustainability. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Sustainability has no effect on the direction of Vanguard Total i.e., Vanguard Total and Dimensional Sustainability go up and down completely randomly.

Pair Corralation between Vanguard Total and Dimensional Sustainability

Considering the 90-day investment horizon Vanguard Total is expected to generate 1.04 times less return on investment than Dimensional Sustainability. But when comparing it to its historical volatility, Vanguard Total Stock is 1.07 times less risky than Dimensional Sustainability. It trades about 0.22 of its potential returns per unit of risk. Dimensional Sustainability Core is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  3,568  in Dimensional Sustainability Core on September 2, 2024 and sell it today you would earn a total of  388.00  from holding Dimensional Sustainability Core or generate 10.87% return on investment over 90 days.

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

Vanguard Total Stock  vs.  Dimensional Sustainability Cor

Vanguard Total Stock

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Total Stock are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite fairly unfluctuating basic indicators, Vanguard Total may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Dimensional Sustainability

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Dimensional Sustainability Core are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively inconsistent basic indicators, Dimensional Sustainability may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Vanguard Total and Dimensional Sustainability

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

The idea behind Vanguard Total Stock and Dimensional Sustainability Core 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 Anywhere module to track or share privately all of your investments from the convenience of any device.