Vanguard Russell Correlations

VRTGX Etf

USD 353.24 1.82 0.51%

The current 90-days correlation between Vanguard Russell 2000 and Vanguard FTSE Canadian is -0.44 (i.e., Very good diversification). The correlation of Vanguard Russell 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 Russell Correlation With Market

Almost no diversification

The correlation between Vanguard Russell 2000 and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Russell 2000 and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Vanguard Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Russell 2000. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Vanguard Etf

1.0	VBK	Vanguard Small Cap	Pair Corr
1.0	IWO	iShares Russell 2000	Pair Corr
1.0	IJT	iShares SP Small	Pair Corr
1.0	SLYG	SPDR SP 600	Pair Corr
0.99	PBW	Invesco WilderHill Clean	Pair Corr
0.96	JKK	iShares Morningstar	Pair Corr
1.0	VTWG	Vanguard Russell 2000	Pair Corr
1.0	VIOG	Vanguard SP Small	Pair Corr
1.0	ISCG	iShares Morningstar	Pair Corr
0.98	VTI	Vanguard Total Stock	Pair Corr
0.97	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.97	IVV	iShares Core SP	Pair Corr
0.99	VB	Vanguard Small Cap	Pair Corr
0.99	IJH	iShares Core SP	Pair Corr
0.94	IWF	iShares Russell 1000	Pair Corr

Moving against Vanguard Etf

0.92	TOAK	Manager Directed Por	Pair Corr
0.93	XTWO	Bondbloxx ETF Trust	Pair Corr
0.91	XBIL	US Treasury 6	Pair Corr
0.89	STIP	iShares 0 5	Pair Corr
0.83	IBIG	iShares Trust	Pair Corr
0.77	SLQD	iShares 0 5	Pair Corr
0.73	GLDM	SPDR Gold MiniShares	Pair Corr
0.53	VCIT	Vanguard Intermediate Sell-off Trend	Pair Corr
0.48	AGGS	Harbor ETF Trust	Pair Corr
0.42	FFIU	Fieldstone UVA Uncon	Pair Corr
0.87	STPZ	PIMCO 1 5	Pair Corr
0.86	TYA	Simplify Exchange Traded Low Volatility	Pair Corr
0.74	IAU	iShares Gold Trust	Pair Corr
0.74	IAUM	iShares Gold Trust	Pair Corr
0.7	JAGG	JPMorgan BetaBuilders	Pair Corr
0.69	RING	iShares MSCI Global	Pair Corr

Related Correlations Analysis

	VDYIF	VFLQ	VEMGF	VNGGF	VNGDF	VNGCF	VNGBF	VNGLF	VNGUF
VDYIF		0.0	-0.18	0.0	0.31	0.0	0.2	0.55	0.0	VDYIF
VFLQ	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	VFLQ
VEMGF	-0.18	0.0		0.0	0.22	0.0	0.32	0.31	0.0	VEMGF
VNGGF	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	VNGGF
VNGDF	0.31	0.0	0.22	0.0		0.0	-0.3	0.11	0.0	VNGDF
VNGCF	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	VNGCF
VNGBF	0.2	0.0	0.32	0.0	-0.3	0.0		0.53	0.0	VNGBF
VNGLF	0.55	0.0	0.31	0.0	0.11	0.0	0.53		0.0	VNGLF
VNGUF	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		VNGUF
	VDYIF	VFLQ	VEMGF	VNGGF	VNGDF	VNGCF	VNGBF	VNGLF	VNGUF

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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

VNGLF	+ 0.55	VDYIF
VNGLF	+ 0.53	VNGBF
VNGBF	+ 0.32	VEMGF
VNGDF	+ 0.31	VDYIF
VNGLF	+ 0.31	VEMGF
VNGDF	+ 0.22	VEMGF

High negative correlations

VNGBF	- 0.3	VNGDF
VEMGF	- 0.18	VDYIF
VNGUF	- 0.0	VNGLF
VNGUF	- 0.0	VNGBF
VNGUF	- 0.0	VNGCF
VNGLF	- 0.0	VNGCF

Vanguard Russell Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Russell 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 Russell'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
VDYIF	0.45	(0.04)	0.00	(0.06)	0.00	0.00	1.41	0.00	11.66
VFLQ	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VEMGF	0.08	0.00	0.00	(0.05)	0.00	0.00	0.34	(0.03)	2.86
VNGGF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VNGDF	0.90	(0.09)	0.00	(1.10)	0.00	0.00	1.57	(1.93)	9.03
VNGCF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VNGBF	0.29	0.00	0.31	0.00	0.37	(0.33)	0.53	(0.63)	2.04
VNGLF	1.13	0.08	0.14	(0.38)	1.66	(1.07)	2.41	(1.93)	9.09
VNGUF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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