Vanguard Correlations

VFV Etf

CAD 155.96 1.46 0.94%

The current 90-days correlation between Vanguard SP 500 and Vanguard FTSE Canadian is 0.55 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard SP 500 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard Correlation With Market

Modest diversification

The correlation between Vanguard SP 500 and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard SP 500 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Vanguard 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 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 - 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 SP 500 to buy it.

Moving together with Vanguard Etf

0.8	XSP	iShares Core SP	Pair Corr
1.0	ZSP	BMO SP 500	Pair Corr
1.0	HXS	Global X SP	Pair Corr
1.0	XUS	iShares Core SP	Pair Corr
0.8	ZUE	BMO SP 500	Pair Corr
0.8	VSP	Vanguard SP 500	Pair Corr
0.91	ZQQ	BMO NASDAQ 100	Pair Corr
0.91	XQQ	iShares NASDAQ 100	Pair Corr
0.99	XUU	iShares Core SP	Pair Corr
0.7	HBLK	Blockchain Technologies	Pair Corr
0.78	HUN	Global X Natural	Pair Corr
0.66	HBGD	Global X Big	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.62	-0.43	-0.5	0.58	0.77	0.5	0.62	-0.15	-0.63	META
MSFT	0.62		-0.46	-0.23	0.48	0.4	0.6	0.3	-0.01	-0.46	MSFT
UBER	-0.43	-0.46		0.65	-0.3	-0.2	-0.71	-0.25	0.31	0.78	UBER
F	-0.5	-0.23	0.65		0.05	-0.32	-0.17	-0.06	0.09	0.9	F
T	0.58	0.48	-0.3	0.05		0.41	0.67	0.59	-0.17	-0.17	T
A	0.77	0.4	-0.2	-0.32	0.41		0.25	0.72	-0.21	-0.39	A
CRM	0.5	0.6	-0.71	-0.17	0.67	0.25		0.5	-0.29	-0.41	CRM
JPM	0.62	0.3	-0.25	-0.06	0.59	0.72	0.5		-0.55	-0.24	JPM
MRK	-0.15	-0.01	0.31	0.09	-0.17	-0.21	-0.29	-0.55		0.16	MRK
XOM	-0.63	-0.46	0.78	0.9	-0.17	-0.39	-0.41	-0.24	0.16		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

XOM	+ 0.9	F
XOM	+ 0.78	UBER
A	+ 0.77	META
JPM	+ 0.72	A
CRM	+ 0.67	T
F	+ 0.65	UBER

High negative correlations

CRM	- 0.71	UBER
XOM	- 0.63	META
MRK	- 0.55	JPM
F	- 0.5	META
XOM	- 0.46	MSFT
UBER	- 0.46	MSFT

Vanguard Competition Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard 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'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
META	1.41	0.26	0.13	0.73	1.40	(1.61)	3.43	(2.31)	7.43
MSFT	1.12	(0.03)	0.00	(0.42)	0.00	0.00	2.20	(2.79)	7.31
UBER	1.56	(0.23)	0.00	(3.08)	0.00	0.00	2.67	(5.35)	12.29
F	1.47	(0.18)	0.00	(0.20)	0.00	0.00	2.57	(2.90)	11.21
T	1.00	0.10	0.04	0.30	1.08	(1.12)	1.91	(1.84)	7.94
A	1.20	0.19	0.11	0.48	1.06	(1.46)	2.92	(2.16)	8.06
CRM	1.51	0.34	0.15	2.71	1.42	(1.76)	3.70	(2.88)	14.80
JPM	1.05	0.25	0.15	0.96	1.05	(1.23)	1.92	(1.42)	15.87
MRK	1.03	(0.11)	0.00	(0.43)	0.00	0.00	2.00	(2.13)	5.24
XOM	0.82	(0.16)	0.00	(0.28)	0.00	0.00	1.71	(1.74)	6.06

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