Vanguard Russell Correlations

VRTIX Etf

USD 387.90 1.44 0.37%

The current 90-days correlation between Vanguard Russell 2000 and Vanguard Small Cap Index is 0.95 (i.e., Almost no 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

Poor diversification

The correlation between Vanguard Russell 2000 and DJI is 0.75 (i.e., Poor 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 gross domestic product.

Moving together with Vanguard Etf

0.84	VB	Vanguard Small Cap	Pair Corr
0.82	IJR	iShares Core SP	Pair Corr
1.0	IWM	iShares Russell 2000	Pair Corr
1.0	VTWO	Vanguard Russell 2000	Pair Corr
0.83	SPSM	SPDR Portfolio SP	Pair Corr
0.77	DFAS	Dimensional Small Cap	Pair Corr
0.82	VIOO	Vanguard SP Small	Pair Corr
0.88	PRFZ	Invesco FTSE RAFI	Pair Corr
0.78	ITDD	iShares Trust	Pair Corr
0.65	WGMI	Valkyrie Bitcoin Miners	Pair Corr
0.99	ITWO	Proshares Russell 2000	Pair Corr
0.71	SEPU	AllianzIM Equity Buffer15	Pair Corr
0.81	BOBP	Exchange Traded Concepts	Pair Corr
0.66	JUST	Goldman Sachs JUST	Pair Corr
0.7	DSI	iShares MSCI KLD	Pair Corr
0.76	IDEV	iShares Core MSCI	Pair Corr
0.72	TVAL	T Rowe Price	Pair Corr
0.7	GMAY	First Trust Exchange	Pair Corr
0.69	SPYI	SHP ETF Trust	Pair Corr
0.72	VGK	Vanguard FTSE Europe	Pair Corr
0.64	DIHP	Dimensional International	Pair Corr

Moving against Vanguard Etf

0.61

VIXY

ProShares VIX Short

Pair Corr

Related Correlations Analysis

	VB	IJR	IWM	VRTIX	VTWO	FNDA	SPSM	DFAS	VIOO	PRFZ
VB		0.96	0.84	0.84	0.84	0.9	0.96	0.95	0.95	0.97	VB
IJR	0.96		0.82	0.82	0.82	0.91	1.0	0.98	1.0	0.97	IJR
IWM	0.84	0.82		1.0	1.0	0.58	0.82	0.76	0.82	0.88	IWM
VRTIX	0.84	0.82	1.0		1.0	0.59	0.83	0.77	0.82	0.88	VRTIX
VTWO	0.84	0.82	1.0	1.0		0.58	0.82	0.76	0.82	0.88	VTWO
FNDA	0.9	0.91	0.58	0.59	0.58		0.91	0.96	0.91	0.88	FNDA
SPSM	0.96	1.0	0.82	0.83	0.82	0.91		0.98	1.0	0.97	SPSM
DFAS	0.95	0.98	0.76	0.77	0.76	0.96	0.98		0.98	0.96	DFAS
VIOO	0.95	1.0	0.82	0.82	0.82	0.91	1.0	0.98		0.97	VIOO
PRFZ	0.97	0.97	0.88	0.88	0.88	0.88	0.97	0.96	0.97		PRFZ
	VB	IJR	IWM	VRTIX	VTWO	FNDA	SPSM	DFAS	VIOO	PRFZ

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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
VB	0.79	(0.05)	(0.03)	0.03	1.09	(0.74)	1.83	(1.77)	4.80
IJR	0.86	(0.05)	(0.03)	0.03	1.06	(0.90)	2.11	(1.78)	5.39
IWM	0.97	(0.01)	0.02	0.06	1.21	(0.99)	2.18	(1.99)	5.60
VRTIX	0.97	0.00	0.02	0.07	1.19	(0.99)	2.14	(1.94)	5.56
VTWO	0.97	(0.01)	0.02	0.06	1.22	(0.99)	2.20	(1.97)	5.56
FNDA	0.80	(0.06)	(0.04)	0.02	1.08	(0.77)	1.78	(1.38)	5.50
SPSM	0.84	(0.05)	(0.03)	0.03	1.05	(0.89)	2.00	(1.80)	5.22
DFAS	0.81	(0.05)	(0.03)	0.03	1.04	(0.79)	1.76	(1.53)	4.90
VIOO	0.87	(0.05)	(0.02)	0.03	1.08	(0.95)	2.18	(1.76)	5.50
PRFZ	0.90	(0.04)	(0.01)	0.04	1.12	(0.89)	2.14	(1.79)	5.50

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