Vanguard FTSE Correlations

VE Etf

CAD 46.75 0.22 0.47%

The current 90-days correlation between Vanguard FTSE Developed and BetaPro SPTSX Capped is -0.01 (i.e., Good 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

Almost no diversification

The correlation between Vanguard FTSE Developed and DJI is 0.91 (i.e., Almost no 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

0.99	ZWP	BMO Europe High	Pair Corr
0.97	ZWE	BMO Europe High	Pair Corr
1.0	XEU	iShares MSCI Europe	Pair Corr
0.97	ZEQ	BMO MSCI Europe	Pair Corr
0.99	XEH	iShares MSCI Europe	Pair Corr
0.98	HXX	Global X Europe	Pair Corr
0.95	EHE	CI Europe Hedged	Pair Corr
0.96	RPDH	RBC Quant European	Pair Corr
0.61	HOU	BetaPro Crude Oil	Pair Corr
0.95	NMNG	Ninepoint Mining Evo	Pair Corr
0.83	CPD	iShares SPTSX Canadian	Pair Corr
0.7	FLUS	Franklin Large Cap	Pair Corr
0.88	AMAX	Hamilton Gold Producer	Pair Corr
0.83	ZBK	BMO Equal Weight	Pair Corr
0.7	XSTB	iShares ESG Aware	Pair Corr
0.76	XDUH	iShares Core MSCI	Pair Corr
0.89	XEN	iShares Jantzi Social	Pair Corr
0.95	HAC	Global X Seasonal	Pair Corr
0.84	CALL	Evolve Banks Enhanced	Pair Corr
0.92	MINT-B	Manulife Multifactor	Pair Corr
0.73	NXF	First Asset Energy	Pair Corr
0.67	XEG	iShares SPTSX Capped	Pair Corr
0.65	DXN	Dynamic Active Global	Pair Corr
0.9	UDIV	Manulife Smart Dividend	Pair Corr
0.9	CGXF	CI Gold Giants	Pair Corr
0.93	PFCO	PICTON Credit Opport	Pair Corr
0.73	TCLV	TD Q Canadian	Pair Corr
0.84	WSHR	Wealthsimple Shariah	Pair Corr

Moving against Vanguard Etf

0.87	HXD	BetaPro SPTSX 60	Pair Corr
0.71	HIU	BetaPro SP 500	Pair Corr
0.66	HED	BetaPro SPTSX Capped	Pair Corr
0.34	HQD	BetaPro NASDAQ 100	Pair Corr

Related Correlations Analysis

	XML	XVLU	HIG	QDXH	FCRR	HCON	INOC	PXS	NRGU
XML		0.88	0.59	0.92	-0.44	0.82	0.88	0.85	0.78	XML
XVLU	0.88		0.48	0.97	-0.55	0.87	0.9	0.93	0.7	XVLU
HIG	0.59	0.48		0.48	-0.14	0.66	0.49	0.53	0.45	HIG
QDXH	0.92	0.97	0.48		-0.57	0.87	0.92	0.91	0.71	QDXH
FCRR	-0.44	-0.55	-0.14	-0.57		-0.4	-0.47	-0.41	-0.24	FCRR
HCON	0.82	0.87	0.66	0.87	-0.4		0.81	0.9	0.65	HCON
INOC	0.88	0.9	0.49	0.92	-0.47	0.81		0.9	0.67	INOC
PXS	0.85	0.93	0.53	0.91	-0.41	0.9	0.9		0.65	PXS
NRGU	0.78	0.7	0.45	0.71	-0.24	0.65	0.67	0.65		NRGU
	XML	XVLU	HIG	QDXH	FCRR	HCON	INOC	PXS	NRGU

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

QDXH	+ 0.97	XVLU
PXS	+ 0.93	XVLU
QDXH	+ 0.92	XML
INOC	+ 0.92	QDXH
PXS	+ 0.91	QDXH
INOC	+ 0.9	XVLU

High negative correlations

FCRR	- 0.57	QDXH
FCRR	- 0.55	XVLU
INOC	- 0.47	FCRR
FCRR	- 0.44	XML
PXS	- 0.41	FCRR
HCON	- 0.4	FCRR

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
XML	0.37	0.08	0.06	0.95	0.22	(0.46)	0.85	(0.64)	2.39
XVLU	0.81	0.14	0.11	0.32	0.74	(0.92)	2.10	(1.70)	4.56
HIG	0.70	0.03	(0.01)	0.12	0.96	(0.72)	1.76	(1.38)	5.48
QDXH	0.39	0.09	0.08	0.35	0.13	(0.62)	1.41	(0.97)	2.85
FCRR	0.61	(0.08)	0.00	(0.10)	0.00	0.00	1.22	(1.23)	6.85
HCON	0.25	0.00	(0.14)	0.08	0.22	(0.33)	0.61	(0.47)	1.29
INOC	0.65	0.13	0.09	0.70	0.66	(0.73)	1.89	(0.91)	5.74
PXS	0.52	0.05	0.02	0.22	0.50	(0.52)	1.57	(1.02)	3.58
NRGU	2.27	0.52	0.17	8.02	2.41	(2.48)	5.06	(3.18)	12.09

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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