Vanguard Canadian Correlations

VAB Etf

CAD 23.26 0.05 0.22%

The current 90-days correlation between Vanguard Canadian and BMO Discount Bond is 0.96 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Canadian moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Canadian Aggregate moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard Canadian Correlation With Market

Significant diversification

The correlation between Vanguard Canadian Aggregate and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Canadian Aggregate and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Vanguard Canadian 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 Canadian 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 Canadian - 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 Canadian Aggregate to buy it.

Moving together with Vanguard Etf

1.0	ZAG	BMO Aggregate Bond	Pair Corr
0.99	XBB	iShares Canadian Universe	Pair Corr
0.99	ZDB	BMO Discount Bond	Pair Corr
0.98	XGB	iShares Canadian Gov	Pair Corr
0.96	ZMP	BMO Mid Provincial	Pair Corr
0.94	ZFM	BMO Mid Federal	Pair Corr
0.98	XQB	iShares High Quality	Pair Corr
0.99	HBB	Global X Canadian	Pair Corr
0.96	CLG	iShares 1 10Yr	Pair Corr
0.89	ZLC	BMO Long Corporate	Pair Corr
0.77	ZWU	BMO Covered Call	Pair Corr
0.75	XSB	iShares Canadian Short	Pair Corr
0.64	DXN	Dynamic Active Global	Pair Corr

Related Correlations Analysis

	CLF	TCLB	ZMP	XFR	DGRC	WXM	CBH	ZDB
CLF		0.4	0.95	0.54	0.61	0.56	0.97	0.84	CLF
TCLB	0.4		0.62	-0.5	-0.29	-0.44	0.3	0.81	TCLB
ZMP	0.95	0.62		0.32	0.46	0.37	0.91	0.95	ZMP
XFR	0.54	-0.5	0.32		0.87	0.95	0.63	0.05	XFR
DGRC	0.61	-0.29	0.46	0.87		0.96	0.69	0.22	DGRC
WXM	0.56	-0.44	0.37	0.95	0.96		0.65	0.1	WXM
CBH	0.97	0.3	0.91	0.63	0.69	0.65		0.77	CBH
ZDB	0.84	0.81	0.95	0.05	0.22	0.1	0.77		ZDB
	CLF	TCLB	ZMP	XFR	DGRC	WXM	CBH	ZDB

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

CBH	+ 0.97	CLF
WXM	+ 0.96	DGRC
ZMP	+ 0.95	CLF
ZDB	+ 0.95	ZMP
WXM	+ 0.95	XFR
CBH	+ 0.91	ZMP

High negative correlations

XFR	- 0.5	TCLB
WXM	- 0.44	TCLB
DGRC	- 0.29	TCLB

Vanguard Canadian Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Canadian 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 Canadian'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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CLF	0.08	0.00	(0.37)	(0.08)	0.09	(0.09)	0.11	(0.11)	0.68
TCLB	0.49	(0.03)	0.00	(0.12)	0.00	0.00	0.81	(1.00)	3.18
ZMP	0.16	0.00	(0.19)	0.05	0.22	(0.18)	0.28	(0.28)	1.34
XFR	0.04	0.00	(1.01)	0.54	0.00	(0.06)	0.10	(0.05)	0.20
DGRC	0.68	0.14	0.09	0.47	0.86	(0.71)	1.32	(1.23)	4.85
WXM	0.79	0.21	0.15	0.46	0.86	(0.85)	1.81	(1.82)	5.21
CBH	0.12	0.00	(0.28)	0.08	0.13	(0.14)	0.22	(0.28)	0.89
ZDB	0.17	(0.01)	(0.21)	(0.01)	0.24	(0.18)	0.33	(0.27)	1.32

Be your own money manager

Our tools can tell you how much better you can do entering a position in Vanguard Canadian 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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