Vanguard MSCI Correlations

VGS Etf

134.96 1.25 0.93%

The current 90-days correlation between Vanguard MSCI Intern and Vanguard Global Minimum is 0.64 (i.e., Poor diversification). The correlation of Vanguard MSCI 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 MSCI Correlation With Market

Modest diversification

The correlation between Vanguard MSCI International and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard MSCI International and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Vanguard MSCI 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 MSCI 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 MSCI - 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 MSCI International to buy it.

Moving together with Vanguard Etf

0.71	GEAR	BetaShares Geared	Pair Corr
0.68	SEMI	Global X Semiconductor	Pair Corr
0.94	RBTZ	BetaShares Global	Pair Corr
0.64	IAA	iShares Asia 50	Pair Corr

Moving against Vanguard Etf

0.93	GGOV	BetaShares Global	Pair Corr
0.92	AGVT	BetaShares Australian	Pair Corr
0.92	RGB	Russell Australian	Pair Corr
0.87	ILB	iShares UBS Government	Pair Corr

Related Correlations Analysis

	VMIN	VBND	VAF	VBLD	VVLU	VGAD	VEQ	VEFI	VDHG
VMIN		0.02	-0.08	0.22	0.25	0.5	0.0	0.0	0.4	VMIN
VBND	0.02		0.89	-0.53	-0.83	-0.6	0.48	0.99	-0.65	VBND
VAF	-0.08	0.89		-0.64	-0.86	-0.76	0.59	0.89	-0.81	VAF
VBLD	0.22	-0.53	-0.64		0.72	0.57	-0.64	-0.51	0.72	VBLD
VVLU	0.25	-0.83	-0.86	0.72		0.83	-0.69	-0.83	0.88	VVLU
VGAD	0.5	-0.6	-0.76	0.57	0.83		-0.53	-0.62	0.97	VGAD
VEQ	0.0	0.48	0.59	-0.64	-0.69	-0.53		0.48	-0.6	VEQ
VEFI	0.0	0.99	0.89	-0.51	-0.83	-0.62	0.48		-0.66	VEFI
VDHG	0.4	-0.65	-0.81	0.72	0.88	0.97	-0.6	-0.66		VDHG
	VMIN	VBND	VAF	VBLD	VVLU	VGAD	VEQ	VEFI	VDHG

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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

VEFI	+ 0.99	VBND
VDHG	+ 0.97	VGAD
VAF	+ 0.89	VBND
VEFI	+ 0.89	VAF
VDHG	+ 0.88	VVLU
VGAD	+ 0.83	VVLU

High negative correlations

VVLU	- 0.86	VAF
VEFI	- 0.83	VVLU
VVLU	- 0.83	VBND
VDHG	- 0.81	VAF
VGAD	- 0.76	VAF
VEQ	- 0.69	VVLU

Vanguard MSCI Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard MSCI 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 MSCI'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
VMIN	0.35	(0.01)	(0.23)	0.05	0.41	(0.37)	0.68	(0.82)	2.36
VBND	0.19	(0.03)	0.00	(1.18)	0.00	0.00	0.41	(0.40)	1.37
VAF	0.18	(0.03)	0.00	0.99	0.00	0.00	0.33	(0.41)	1.11
VBLD	0.53	0.10	0.00	0.81	0.38	(0.62)	1.46	(0.89)	3.21
VVLU	0.56	0.09	(0.01)	0.54	0.46	(0.65)	1.33	(1.03)	3.94
VGAD	0.49	0.04	(0.07)	0.33	0.63	(0.48)	1.01	(0.95)	3.07
VEQ	0.48	(0.07)	0.00	0.93	0.00	0.00	0.82	(1.22)	3.00
VEFI	0.20	(0.02)	0.00	4.54	0.00	0.00	0.39	(0.47)	1.46
VDHG	0.36	0.06	(0.10)	0.59	0.33	(0.41)	0.77	(0.69)	2.18

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Our tools can tell you how much better you can do entering a position in Vanguard MSCI 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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