Vanguard FTSE Correlations

VEF Etf

CAD 59.12 0.19 0.32%

The current 90-days correlation between Vanguard FTSE Developed and Vanguard Total Market is 0.62 (i.e., Poor 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 Developed moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

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

0.95	XEF	iShares Core MSCI	Pair Corr
0.94	ZEA	BMO MSCI EAFE	Pair Corr
0.95	VIU	Vanguard FTSE Developed	Pair Corr
0.95	XIN	iShares MSCI EAFE	Pair Corr
0.98	XFH	iShares Core MSCI	Pair Corr
0.93	ZDM	BMO MSCI EAFE	Pair Corr
0.93	WSRD	Wealthsimple Developed	Pair Corr
0.9	ZLI	BMO Low Volatility	Pair Corr
0.96	VDU	Vanguard FTSE Developed	Pair Corr
0.83	XIU	iShares SPTSX 60	Pair Corr
0.7	XSP	iShares Core SP	Pair Corr
0.79	XIC	iShares Core SPTSX	Pair Corr
0.69	ZAG	BMO Aggregate Bond	Pair Corr
0.7	XBB	iShares Canadian Universe	Pair Corr
0.79	ZCN	BMO SPTSX Capped	Pair Corr
0.65	ZSP	BMO SP 500	Pair Corr
0.65	VFV	Vanguard SP 500	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.38	0.56	-0.66	0.78	0.41	-0.15	0.85	-0.8	-0.38	META
MSFT	-0.38		-0.64	0.33	-0.52	0.2	0.72	-0.48	0.6	-0.04	MSFT
UBER	0.56	-0.64		-0.17	0.74	-0.03	-0.51	0.72	-0.75	0.33	UBER
F	-0.66	0.33	-0.17		-0.38	-0.1	0.38	-0.41	0.6	0.77	F
T	0.78	-0.52	0.74	-0.38		0.02	-0.27	0.71	-0.79	0.0	T
A	0.41	0.2	-0.03	-0.1	0.02		0.21	0.52	-0.01	-0.23	A
CRM	-0.15	0.72	-0.51	0.38	-0.27	0.21		-0.27	0.45	0.05	CRM
JPM	0.85	-0.48	0.72	-0.41	0.71	0.52	-0.27		-0.78	-0.09	JPM
MRK	-0.8	0.6	-0.75	0.6	-0.79	-0.01	0.45	-0.78		0.15	MRK
XOM	-0.38	-0.04	0.33	0.77	0.0	-0.23	0.05	-0.09	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	+ 0.85	META
T	+ 0.78	META
XOM	+ 0.77	F
T	+ 0.74	UBER
CRM	+ 0.72	MSFT
JPM	+ 0.72	UBER

High negative correlations

MRK	- 0.8	META
MRK	- 0.79	T
MRK	- 0.78	JPM
MRK	- 0.75	UBER
F	- 0.66	META
UBER	- 0.64	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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.32	0.28	0.18	0.75	1.37	(1.40)	3.22	(2.26)	7.11
MSFT	0.99	(0.06)	0.00	(0.24)	0.00	0.00	2.20	(1.90)	10.31
UBER	1.89	0.17	0.06	(2.66)	2.76	(1.85)	4.72	(3.13)	12.29
F	1.34	(0.17)	0.00	(0.23)	0.00	0.00	2.46	(2.90)	10.97
T	0.91	0.26	0.23	0.48	0.92	(1.07)	1.80	(1.75)	7.94
A	1.07	0.11	0.10	0.15	1.03	(1.29)	2.81	(1.91)	6.12
CRM	1.43	(0.06)	0.00	(0.08)	0.00	0.00	3.10	(2.95)	15.92
JPM	0.90	0.10	0.08	0.13	1.20	(0.98)	1.92	(1.51)	6.85
MRK	1.26	(0.10)	0.00	(1.17)	0.00	0.00	2.43	(2.24)	11.57
XOM	0.94	(0.13)	0.00	(0.49)	0.00	0.00	1.76	(2.14)	5.69

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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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