Vanguard FTSE Correlations
| VDY Etf | CAD 49.87 0.11 0.22% |
The current 90-days correlation between Vanguard FTSE Canadian and iShares SPTSX Composite is 0.93 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard FTSE Canadian moves in either direction, the perfectly negatively correlated security will move in the opposite direction.
Vanguard FTSE Correlation With Market
Poor diversification
The correlation between Vanguard FTSE Canadian and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Canadian and DJI in the same portfolio, assuming nothing else is changed.
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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 Canadian to buy it.
Moving together with Vanguard Etf
| 0.63 | CDZ | iShares SPTSX Canadian | PairCorr |
| 0.95 | PDC | Invesco Canadian Dividend | PairCorr |
| 0.78 | XEI | iShares SPTSX Composite | PairCorr |
| 0.71 | HXH | Global X Canadian | PairCorr |
| 0.72 | HEU | BetaPro SP TSX | PairCorr |
| 0.72 | HXE | Global X SPTSX | PairCorr |
| 0.62 | ENCC | Global X Canadian | PairCorr |
| 0.73 | XEG | iShares SPTSX Capped | PairCorr |
| 0.62 | HURA | Global X Uranium | PairCorr |
| 0.64 | ZEO | BMO Equal Weight | PairCorr |
| 0.63 | HFU | BetaPro SPTSX Capped | PairCorr |
Related Correlations Analysis
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Vanguard FTSE Constituents 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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| XEI | 0.46 | 0.05 | 0.08 | 0.14 | 0.45 | 0.89 | 2.18 | |||
| VRE | 0.74 | (0.02) | 0.00 | (0.05) | 0.00 | 1.37 | 3.95 | |||
| VFV | 0.70 | (0.07) | 0.00 | (0.11) | 0.00 | 1.59 | 4.04 | |||
| XIC | 0.65 | 0.04 | 0.04 | 0.06 | 0.82 | 1.35 | 3.15 | |||
| ZWC | 0.45 | 0.03 | 0.05 | (0.39) | 0.53 | 0.83 | 2.67 |
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.Did you try this?
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