Vanguard FTSE Correlations

Etfs . Canada . 
Etf . Vanguard FTSE Developed
VA Etf  CAD 55.53  0.26  0.47%   
The current 90-days correlation between Vanguard FTSE Developed and Purpose International Dividend is 0.69 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard FTSE Developed moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard FTSE Correlation With Market

Very poor diversification

The correlation between Vanguard FTSE Developed and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and DJI in the same portfolio, assuming nothing else is changed.
  
The ability to find closely correlated positions to Vanguard FTSE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vanguard FTSE when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Vanguard FTSE - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Vanguard FTSE Developed to buy it.

Moving together with Vanguard Etf

  0.69FTN Financial 15 Split SplitPairCorr
  0.75DRFG Desjardins RI GlobalPairCorr
  0.89HAC Global X SeasonalPairCorr
  0.97QDX Mackenzie InternationalPairCorr
  0.76QCE Mackenzie Canadian LargePairCorr
  0.81QCN Mackenzie Canadian EquityPairCorr
  0.73HXU BetaPro SP TSXPairCorr
  0.73ZWU BMO Covered CallPairCorr
  0.73ZBK BMO Equal WeightPairCorr
  0.81ZMID BMO SP MidPairCorr
  0.89ZUD BMO Dividend HedgedPairCorr
  0.92XSH iShares Core CanadianPairCorr
  0.89NMNG Ninepoint Mining EvoPairCorr
  0.91NXF First Asset EnergyPairCorr
  0.62ZLC BMO Long CorporatePairCorr
  0.67TCLV TD Q CanadianPairCorr
  0.71ZEO BMO Equal WeightPairCorr
  0.83XSTB iShares ESG AwarePairCorr
  0.87DXN Dynamic Active GlobalPairCorr
  0.81ATSX Accelerate Canadian LongPairCorr
  0.74ZGI BMO Global InfrastructurePairCorr
  0.88HXX Global X EuropePairCorr
  0.75CALL Evolve Banks EnhancedPairCorr
  0.89XDUH iShares Core MSCIPairCorr
  0.67CPD iShares SPTSX CanadianPairCorr
  0.96ZDM BMO MSCI EAFEPairCorr
  0.96GDV Global Dividend GrowthPairCorr
  0.87XEG iShares SPTSX CappedPairCorr
  0.83CGXF CI Gold GiantsPairCorr
  0.84PFCO PICTON Credit OpportPairCorr
  0.8XEN iShares Jantzi SocialPairCorr
  0.96UDIV Manulife Smart DividendPairCorr
  0.81HAF Global X ActivePairCorr

Related Correlations Analysis


Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PID
+ 0.97
THE
MREL
+ 0.92
THE
ETSX
+ 0.9
BKCL
MREL
+ 0.88
EQLI
THE
+ 0.88
BKCL
THE
+ 0.87
EQLI
  

High negative correlations

HUTS
- 0.8
FMAX
HUTS
- 0.6
PYF
PID
- 0.16
FMAX
PID
- 0.11
PYF
HURA
- 0.05
FMAX
MREL
- 0.05
FMAX

Vanguard FTSE Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard FTSE ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Vanguard FTSE's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.
Mean DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
FMAX  0.77 (0.11) 0.00 (0.15) 0.00 
 0.00 
 1.29 
(1.79)
 4.62 
EQLI  0.51  0.03 (0.01) 0.21  0.53 
(0.56)
 1.10 
(0.94)
 2.97 
BKCL  0.53  0.12  0.14  0.38  0.46 
(0.61)
 1.17 
(1.01)
 3.50 
THE  0.52  0.07  0.08  0.21  0.49 
(0.55)
 1.18 
(1.14)
 2.96 
PYF  0.12 (0.02) 0.00  0.73  0.00 
 0.00 
 0.30 
(0.30)
 0.96 
MREL  0.56  0.10  0.09  0.67  0.53 
(0.62)
 1.32 
(1.13)
 4.32 
HURA  2.55  0.13  0.04  0.17  2.94 
(2.57)
 5.45 
(5.34)
 13.82 
ETSX  0.52  0.05  0.03  0.17  0.76 
(0.52)
 1.08 
(1.40)
 3.80 
HUTS  0.45  0.11  0.08 (0.48) 0.41 
(0.48)
 0.98 
(0.92)
 2.55 
PID  0.55  0.13  0.14  0.36  0.45 
(0.68)
 1.32 
(1.06)
 3.36 

Be your own money manager

Our tools can tell you how much better you can do entering a position in Vanguard FTSE without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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