Vanguard FTSE Correlations

VEQ Etf

70.50 0.20 0.28%

The current 90-days correlation between Vanguard FTSE Europe and BetaShares Global Government is -0.03 (i.e., Good diversification). The correlation of Vanguard FTSE is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Vanguard FTSE Correlation With Market

Good diversification

The correlation between Vanguard FTSE Europe and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Europe 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 Europe to buy it.

Moving together with Vanguard Etf

0.62	AGVT	BetaShares Australian	Pair Corr
0.63	RGB	Russell Australian	Pair Corr

Moving against Vanguard Etf

0.63	RBTZ	BetaShares Global	Pair Corr
0.46	GEAR	BetaShares Geared	Pair Corr
0.43	IZZ	iShares China LargeCap	Pair Corr
0.33	IAA	iShares Asia 50	Pair Corr

Related Correlations Analysis

	GGOV	GEAR	SEMI	ILB	AGVT	RBTZ	IAA	IZZ	RGB
GGOV		-0.59	-0.7	0.94	0.98	-0.91	-0.73	-0.69	0.97	GGOV
GEAR	-0.59		0.56	-0.43	-0.52	0.63	0.65	0.65	-0.52	GEAR
SEMI	-0.7	0.56		-0.61	-0.65	0.74	0.78	0.66	-0.63	SEMI
ILB	0.94	-0.43	-0.61		0.98	-0.83	-0.66	-0.61	0.97	ILB
AGVT	0.98	-0.52	-0.65	0.98		-0.9	-0.71	-0.68	0.99	AGVT
RBTZ	-0.91	0.63	0.74	-0.83	-0.9		0.66	0.62	-0.9	RBTZ
IAA	-0.73	0.65	0.78	-0.66	-0.71	0.66		0.98	-0.69	IAA
IZZ	-0.69	0.65	0.66	-0.61	-0.68	0.62	0.98		-0.66	IZZ
RGB	0.97	-0.52	-0.63	0.97	0.99	-0.9	-0.69	-0.66		RGB
	GGOV	GEAR	SEMI	ILB	AGVT	RBTZ	IAA	IZZ	RGB

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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

RGB	+ 0.99	AGVT
AGVT	+ 0.98	GGOV
AGVT	+ 0.98	ILB
IZZ	+ 0.98	IAA
RGB	+ 0.97	GGOV
RGB	+ 0.97	ILB

High negative correlations

RBTZ	- 0.91	GGOV
RGB	- 0.9	RBTZ
RBTZ	- 0.9	AGVT
RBTZ	- 0.83	ILB
IAA	- 0.73	GGOV
IAA	- 0.71	AGVT

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
GGOV	0.60	(0.10)	0.00	0.50	0.00	0.00	1.18	(1.45)	3.73
GEAR	1.05	0.15	0.03	1.50	1.28	(1.08)	2.17	(2.03)	6.76
SEMI	1.37	(0.05)	(0.05)	(0.01)	2.21	(1.27)	2.64	(2.73)	10.47
ILB	0.25	(0.03)	0.00	0.80	0.00	0.00	0.44	(0.52)	1.28
AGVT	0.28	(0.05)	0.00	1.17	0.00	0.00	0.48	(0.57)	1.70
RBTZ	0.85	0.07	(0.01)	0.33	1.09	(0.92)	1.90	(1.69)	5.16
IAA	0.89	0.09	(0.04)	(0.53)	0.93	(0.94)	2.38	(1.75)	4.66
IZZ	1.61	0.30	0.08	(1.08)	1.67	(1.92)	4.38	(3.44)	14.78
RGB	0.30	(0.05)	0.00	1.43	0.00	0.00	0.57	(0.82)	2.34

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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