Vanguard FTSE Correlations

VEVE Etf

EUR 111.52 0.45 0.40%

The current 90-days correlation between Vanguard FTSE Developed and Vanguard FTSE North is -0.08 (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

Very poor diversification

The correlation between Vanguard FTSE Developed and DJI is 0.85 (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

0.9	VWRL	Vanguard FTSE All	Pair Corr
0.87	IWRD	iShares MSCI World	Pair Corr
0.87	SWRD	SSGA SPDR ETFS	Pair Corr
0.87	TSWE	VanEck Sustainable World	Pair Corr
0.89	IGSG	iShares Dow Jones	Pair Corr
0.69	IEGE	iShares III Public	Pair Corr
0.82	IFFF	iShares MSCI AC	Pair Corr
0.66	PHAU	WisdomTree Physical Gold	Pair Corr
0.81	DIA	SPDR Dow Jones	Pair Corr
0.64	IWDP	iShares Developed Markets	Pair Corr
0.62	V3NA	Vanguard ESG North	Pair Corr
0.81	RTWO	LG Russell 2000	Pair Corr
0.85	CEUU	iShares Core MSCI	Pair Corr
0.81	JPSR	UBSFund Solutions MSCI	Pair Corr

Related Correlations Analysis

	VWRL	VEUR	VHYL	VERX	V3RE	V20D	V80A	V3RF	VNRT
VWRL		0.88	0.86	0.88	0.51	0.84	1.0	-0.05	0.85	VWRL
VEUR	0.88		0.98	1.0	0.38	0.73	0.87	-0.21	0.56	VEUR
VHYL	0.86	0.98		0.98	0.44	0.76	0.85	-0.16	0.51	VHYL
VERX	0.88	1.0	0.98		0.35	0.72	0.87	-0.21	0.56	VERX
V3RE	0.51	0.38	0.44	0.35		0.73	0.53	0.43	0.28	V3RE
V20D	0.84	0.73	0.76	0.72	0.73		0.85	0.1	0.62	V20D
V80A	1.0	0.87	0.85	0.87	0.53	0.85		-0.03	0.85	V80A
V3RF	-0.05	-0.21	-0.16	-0.21	0.43	0.1	-0.03		-0.05	V3RF
VNRT	0.85	0.56	0.51	0.56	0.28	0.62	0.85	-0.05		VNRT
	VWRL	VEUR	VHYL	VERX	V3RE	V20D	V80A	V3RF	VNRT

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

V80A	+ 1.0	VWRL
VERX	+ 1.0	VEUR
VHYL	+ 0.98	VEUR
VERX	+ 0.98	VHYL
VEUR	+ 0.88	VWRL
VERX	+ 0.88	VWRL

High negative correlations

V3RF	- 0.21	VERX
V3RF	- 0.21	VEUR
V3RF	- 0.16	VHYL
VNRT	- 0.05	V3RF
V3RF	- 0.05	VWRL
V3RF	- 0.03	V80A

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
VWRL	0.49	0.00	(0.04)	0.04	0.64	(0.49)	1.16	(1.23)	3.31
VEUR	0.47	0.09	0.10	0.25	0.39	(0.52)	1.01	(0.82)	3.26
VHYL	0.42	0.11	0.17	0.37	0.20	(0.49)	1.00	(0.77)	2.21
VERX	0.50	0.08	0.10	0.25	0.48	(0.58)	1.12	(0.93)	3.30
V3RE	0.05	(0.01)	(0.17)	(0.30)	0.07	(0.19)	0.17	(0.17)	0.69
V20D	0.06	(0.01)	(0.21)	(0.30)	0.07	(0.21)	0.18	(0.27)	0.85
V80A	0.40	0.00	(0.06)	0.03	0.50	(0.43)	0.94	(0.93)	2.74
V3RF	0.22	(0.01)	(0.07)	(0.08)	0.31	(0.46)	0.77	(0.77)	1.73
VNRT	0.54	(0.04)	0.00	(0.06)	0.00	0.00	1.23	(1.47)	3.94

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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