Vanguard FTSE Correlations

Etfs . Netherlands . 
Etf . Vanguard FTSE Developed
VERX Etf  EUR 43.72  0.28  0.64%   
The current 90-days correlation between Vanguard FTSE Developed and iShares II Public is 0.95 (i.e., Almost no 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

Weak diversification

The correlation between Vanguard FTSE Developed and DJI is 0.37 (i.e., Weak 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

  0.7VUSA Vanguard SP 500PairCorr
  0.83DIA SPDR Dow JonesPairCorr
  0.77EMIM iShares Core MSCIPairCorr
  0.88IUSA iShares SP 500PairCorr
  0.9VWRL Vanguard FTSE AllPairCorr
  0.99IMEU iShares Core MSCIPairCorr
  0.9IWRD iShares MSCI WorldPairCorr
  0.88IEMM iShares MSCI EMPairCorr
  0.87WITS iShares MSCI WorldPairCorr
  0.81CITY Ishares IV PLCPairCorr
  0.83CT2B iShares Smart CityPairCorr
  0.86SWRD SSGA SPDR ETFSPairCorr
  0.88CSPX iShares Core SPPairCorr
  0.88IWDE iShares MSCI WorldPairCorr
  0.82IJPA iShares Core MSCIPairCorr
  0.74SLXU iShares Core CorpPairCorr
  0.65GLDU Amundi Index SolutionsPairCorr
  0.88SPYL SPDR SP 500PairCorr
  0.89SEMI iShares MSCI GlobalPairCorr
  0.86SXLK SSgA SPDR ETFsPairCorr
  1.0IMAE iShares Core MSCIPairCorr
  0.88MTAV iShares Metaverse UCITSPairCorr
  0.7FLXC Franklin FTSE ChinaPairCorr
  0.79V20D Vanguard LifeStrategyPairCorr
  0.72EEDV SPDR SP EuroPairCorr
  0.9IEAU iShares Core CorpPairCorr
  0.77IAPD iShares Asia PacificPairCorr
  0.91DTM VanEck Multi AssetPairCorr
  0.82I500 iShares SP 500PairCorr
  0.78TGBT VanEck iBoxx EURPairCorr

Related Correlations Analysis


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

A
+ 0.79
F
XOM
+ 0.76
JPM
T
+ 0.75
META
MRK
+ 0.69
A
XOM
+ 0.64
F
JPM
+ 0.61
UBER
  

High negative correlations

A
- 0.87
T
T
- 0.73
F
A
- 0.69
META
F
- 0.64
META
MRK
- 0.55
T
T
- 0.45
MSFT

Vanguard FTSE Competition 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
META  1.28 (0.41) 0.00 (0.24) 0.00 
 0.00 
 2.12 
(2.67)
 14.49 
MSFT  0.75 (0.13) 0.00 (0.11) 0.00 
 0.00 
 1.77 
(1.98)
 5.08 
UBER  1.47 (0.08)(0.05) 0.00  1.96 
(1.48)
 3.34 
(3.30)
 9.09 
F  1.36  0.14  0.11  0.18  1.45 
(1.60)
 3.66 
(1.73)
 16.30 
T  0.96 (0.19) 0.00 (0.80) 0.00 
 0.00 
 1.82 
(2.32)
 6.25 
A  1.31  0.27  0.22  0.29  0.94 
(1.48)
 3.82 
(2.04)
 10.46 
CRM  1.59 (0.09)(0.04) 0.01  2.18 
(1.56)
 3.59 
(3.61)
 9.91 
JPM  0.79  0.06  0.04  0.16  0.99 
(0.78)
 1.67 
(1.74)
 4.74 
MRK  1.16  0.06  0.03  0.17  1.16 
(1.36)
 1.80 
(2.36)
 11.45 
XOM  0.86  0.12  0.06  0.36  1.02 
(0.85)
 1.77 
(1.93)
 4.70 

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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