Vanguard ESG Correlations

VCEB Etf

USD 63.23 0.13 0.21%

The current 90-days correlation between Vanguard ESG Corporate and Vanguard ESG International is 0.4 (i.e., Very weak diversification). The correlation of Vanguard ESG 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.

Vanguard ESG Correlation With Market

Modest diversification

The correlation between Vanguard ESG Corporate and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard ESG Corporate and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Vanguard Etf

0.99	LQD	iShares iBoxx Investment	Pair Corr
0.99	IGIB	iShares 5 10 Sell-off Trend	Pair Corr
0.99	USIG	iShares Broad USD Sell-off Trend	Pair Corr
0.95	SPIB	SPDR Barclays Interm Sell-off Trend	Pair Corr
1.0	SUSC	iShares ESG USD	Pair Corr
0.99	QLTA	iShares Aaa	Pair Corr
0.99	CORP	PIMCO Investment Grade	Pair Corr
0.99	FLCO	Franklin Liberty Inv	Pair Corr
0.99	GIGB	Goldman Sachs Access	Pair Corr
1.0	VTC	Vanguard Total Corporate	Pair Corr
0.66	PSLV	Sprott Physical Silver	Pair Corr
0.72	HART	IQ Healthy Hearts	Pair Corr
0.74	ITDD	iShares Trust	Pair Corr
0.82	VPL	Vanguard FTSE Pacific	Pair Corr
0.8	QLTI	2023 ETF	Pair Corr
0.91	VZ	Verizon Communications	Pair Corr
0.71	JNJ	Johnson Johnson	Pair Corr
0.8	DD	Dupont De Nemours	Pair Corr
0.78	TRV	The Travelers Companies	Pair Corr
0.7	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr
0.84	PG	Procter Gamble	Pair Corr

Moving against Vanguard Etf

0.38	TINY	ProShares Nanotechnology	Pair Corr
0.4	BA	Boeing	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.47	0.62	-0.58	0.68	0.23	0.1	0.86	-0.84	-0.22	META
MSFT	-0.47		-0.66	0.49	-0.68	0.37	0.63	-0.49	0.62	0.06	MSFT
UBER	0.62	-0.66		-0.29	0.73	-0.14	-0.54	0.74	-0.77	0.34	UBER
F	-0.58	0.49	-0.29		-0.38	0.15	-0.06	-0.39	0.65	0.71	F
T	0.68	-0.68	0.73	-0.38		-0.35	-0.3	0.59	-0.74	0.08	T
A	0.23	0.37	-0.14	0.15	-0.35		0.42	0.39	0.09	-0.02	A
CRM	0.1	0.63	-0.54	-0.06	-0.3	0.42		-0.13	0.2	-0.41	CRM
JPM	0.86	-0.49	0.74	-0.39	0.59	0.39	-0.13		-0.79	0.01	JPM
MRK	-0.84	0.62	-0.77	0.65	-0.74	0.09	0.2	-0.79		0.15	MRK
XOM	-0.22	0.06	0.34	0.71	0.08	-0.02	-0.41	0.01	0.15		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

JPM	+ 0.86	META
JPM	+ 0.74	UBER
T	+ 0.73	UBER
XOM	+ 0.71	F
T	+ 0.68	META
MRK	+ 0.65	F

High negative correlations

MRK	- 0.84	META
MRK	- 0.79	JPM
MRK	- 0.77	UBER
MRK	- 0.74	T
T	- 0.68	MSFT
UBER	- 0.66	MSFT

Vanguard ESG Competition Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard ESG 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 ESG'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	0.25	0.16	0.31	1.56	(1.42)	3.22	(2.30)	7.11
MSFT	1.04	(0.08)	0.00	(0.31)	0.00	0.00	2.20	(2.14)	10.31
UBER	1.92	0.07	0.05	(8.63)	2.92	(1.89)	4.72	(3.13)	12.28
F	1.32	(0.19)	0.00	(0.80)	0.00	0.00	2.46	(2.89)	10.14
T	0.94	0.31	0.33	1.44	0.88	(1.13)	1.90	(1.75)	7.94
A	1.09	(0.07)	0.00	(0.19)	0.00	0.00	2.81	(2.53)	9.03
CRM	1.29	(0.32)	0.00	(0.44)	0.00	0.00	1.77	(2.95)	8.88
JPM	0.94	0.09	0.06	0.01	1.44	(0.96)	1.97	(1.73)	6.85
MRK	1.24	(0.12)	0.00	(7.33)	0.00	0.00	2.15	(2.24)	11.57
XOM	0.96	(0.15)	0.00	(0.58)	0.00	0.00	1.76	(2.50)	5.69

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