Vanguard FTSE Correlations

VE Etf

CAD 47.17 0.20 0.43%

The current 90-days correlation between Vanguard FTSE Developed and First Asset Morningstar is 0.41 (i.e., Very weak 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 0.92 (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
0.92	EHE	CI Europe Hedged	Pair Corr
0.95	RPDH	RBC Quant European	Pair Corr
0.81	HBGD	Global X Big	Pair Corr
0.84	ZUB	BMO Equal Weight	Pair Corr
0.84	ZBK	BMO Equal Weight	Pair Corr
0.84	CALL	Evolve Banks Enhanced	Pair Corr
0.87	ZWK	BMO Covered Call	Pair Corr
0.85	CALL-B	Evolve Banks Enhanced	Pair Corr
0.89	XSMC	iShares SP Small	Pair Corr
0.9	DXBG	Dynamic Global Fixed	Pair Corr
0.89	HGGG	Harvest Global Gold	Pair Corr

Related Correlations Analysis

	VI	VDU	XUH	QQU	NGPE	HDIF	TQGM	TQSM	XCSR	FXM
VI		0.99	0.74	0.15	-0.76	0.84	0.96	0.78	0.48	0.95	VI
VDU	0.99		0.74	0.17	-0.76	0.83	0.97	0.79	0.45	0.95	VDU
XUH	0.74	0.74		0.71	-0.26	0.92	0.82	0.77	0.76	0.71	XUH
QQU	0.15	0.17	0.71		0.29	0.45	0.29	0.3	0.49	0.13	QQU
NGPE	-0.76	-0.76	-0.26	0.29		-0.41	-0.64	-0.33	0.07	-0.74	NGPE
HDIF	0.84	0.83	0.92	0.45	-0.41		0.85	0.82	0.81	0.83	HDIF
TQGM	0.96	0.97	0.82	0.29	-0.64	0.85		0.87	0.51	0.9	TQGM
TQSM	0.78	0.79	0.77	0.3	-0.33	0.82	0.87		0.66	0.75	TQSM
XCSR	0.48	0.45	0.76	0.49	0.07	0.81	0.51	0.66		0.55	XCSR
FXM	0.95	0.95	0.71	0.13	-0.74	0.83	0.9	0.75	0.55		FXM
	VI	VDU	XUH	QQU	NGPE	HDIF	TQGM	TQSM	XCSR	FXM

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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

VDU	+ 0.99	VI
TQGM	+ 0.97	VDU
TQGM	+ 0.96	VI
FXM	+ 0.95	VI
FXM	+ 0.95	VDU
HDIF	+ 0.92	XUH

High negative correlations

NGPE	- 0.76	VDU
NGPE	- 0.76	VI
FXM	- 0.74	NGPE
TQGM	- 0.64	NGPE
HDIF	- 0.41	NGPE
TQSM	- 0.33	NGPE

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
VI	0.50	0.14	0.11	0.43	0.39	(0.52)	1.28	(1.14)	2.78
VDU	0.56	0.12	0.09	0.35	0.53	(0.61)	1.27	(1.13)	2.81
XUH	0.54	0.00	(0.06)	0.08	0.76	(0.54)	1.23	(1.46)	3.67
QQU	1.54	(0.11)	0.00	(0.01)	0.00	0.00	2.88	(3.77)	9.14
NGPE	1.15	(0.27)	0.00	(0.25)	0.00	0.00	1.96	(2.82)	12.05
HDIF	0.64	0.02	(0.02)	0.12	0.87	(0.69)	1.40	(1.26)	5.15
TQGM	0.51	0.05	(0.01)	0.20	0.47	(0.56)	1.19	(1.15)	2.86
TQSM	0.72	0.00	(0.05)	0.10	0.79	(0.78)	2.10	(1.57)	4.09
XCSR	0.70	0.04	(0.01)	0.16	0.93	(0.73)	1.57	(1.57)	5.03
FXM	0.53	0.18	0.11	0.65	0.60	(0.61)	1.37	(1.04)	4.52

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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