Vanguard FTSE Correlations

VHYL Etf  EUR 66.35  0.02  0.03%   
The current 90-days correlation between Vanguard FTSE All and HSBC MSCI Japan is 0.64 (i.e., Poor diversification). The correlation of Vanguard FTSE 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 FTSE Correlation With Market

Average diversification

The correlation between Vanguard FTSE All World and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE All World 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 All World to buy it.

Moving together with Vanguard Etf

  0.96VUSA Vanguard SP 500PairCorr
  0.91DIA SPDR Dow JonesPairCorr
  0.69EMIM iShares Core MSCIPairCorr
  0.96IUSA iShares SP 500PairCorr
  0.98VWRL Vanguard FTSE AllPairCorr
  0.97IWRD iShares MSCI WorldPairCorr
  0.69IEMM iShares MSCI EMPairCorr
  0.65VUTY Vanguard USD TreasuryPairCorr
  0.86IBGS iShareso Government BondPairCorr

Moving against Vanguard Etf

  0.68CNYB iShares China CNYPairCorr

Related Correlations Analysis

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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   
JPMCRM
CRMT
XOMMETA
JPMT
JPMF
CRMMETA
  
High negative correlations   
MRKCRM
MRKJPM
MRKT
JPMA
XOMMRK
MRKMETA

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
META  1.16  0.19  0.09  0.40  1.36 
 3.22 
 8.02 
MSFT  0.91 (0.02)(0.03) 0.07  1.47 
 2.09 
 8.19 
UBER  1.65 (0.12) 0.00 (0.02) 0.00 
 2.69 
 20.10 
F  1.44 (0.18) 0.00 (0.01) 0.00 
 2.53 
 11.21 
T  1.00  0.29  0.16 (7.31) 0.90 
 2.65 
 6.59 
A  1.17 (0.08) 0.00 (0.07) 0.00 
 2.71 
 9.02 
CRM  1.27  0.30  0.22  0.36  1.01 
 3.18 
 9.98 
JPM  1.13 (0.05) 0.03  0.08  1.42 
 2.05 
 15.87 
MRK  0.93 (0.24) 0.00 (0.97) 0.00 
 2.00 
 4.89 
XOM  0.98 (0.04)(0.07) 0.02  1.32 
 2.10 
 5.74 

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.

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