Vanguard Russell Correlations

VRTGX Etf

USD 376.98 10.45 2.85%

The current 90-days correlation between Vanguard Russell 2000 and Vanguard FTSE Canadian is -0.12 (i.e., Good 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 0.69 (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.

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 price.

Moving together with Vanguard Etf

0.95	VBK	Vanguard Small Cap	Pair Corr
0.96	IWO	iShares Russell 2000	Pair Corr
0.99	IJT	iShares SP Small	Pair Corr
0.99	SLYG	SPDR SP 600	Pair Corr
0.8	PBW	Invesco WilderHill Clean	Pair Corr
0.95	JKK	iShares Morningstar	Pair Corr
1.0	VTWG	Vanguard Russell 2000	Pair Corr
0.99	VIOG	Vanguard SP Small	Pair Corr
0.99	ISCG	iShares Morningstar	Pair Corr
0.91	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.82	USD	ProShares Ultra Semi	Pair Corr
0.93	TECL	Direxion Daily Technology	Pair Corr
0.87	ROM	ProShares Ultra Tech	Pair Corr
0.94	QLD	ProShares Ultra QQQ	Pair Corr
0.83	SMH	VanEck Semiconductor ETF	Pair Corr
0.94	SPXL	Direxion Daily SP500	Pair Corr
0.83	SOXX	iShares Semiconductor ETF	Pair Corr
0.94	UPRO	ProShares UltraPro SP500	Pair Corr
0.77	DIS	Walt Disney	Pair Corr
0.89	AXP	American Express	Pair Corr
0.87	HD	Home Depot	Pair Corr
0.83	HPQ	HP Inc	Pair Corr
0.83	MSFT	Microsoft Aggressive Push	Pair Corr
0.7	BA	Boeing	Pair Corr

Moving against Vanguard Etf

0.51	GDXU	MicroSectors Gold Miners	Pair Corr
0.8	VZ	Verizon Communications	Pair Corr
0.76	TRV	The Travelers Companies	Pair Corr
0.62	MCD	McDonalds	Pair Corr
0.47	PG	Procter Gamble	Pair Corr
0.43	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr
0.39	CVX	Chevron Corp	Pair Corr
0.33	IBM	International Business	Pair Corr

Related Correlations Analysis

	VDYIF	VFLQ	VEMGF	VNGGF	VNGDF	VNGCF	VNGBF	VNGLF	VNGUF
VDYIF		0.0	-0.46	0.0	0.16	0.0	-0.57	-0.59	0.0	VDYIF
VFLQ	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	VFLQ
VEMGF	-0.46	0.0		0.0	-0.39	0.0	0.82	0.92	0.0	VEMGF
VNGGF	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	VNGGF
VNGDF	0.16	0.0	-0.39	0.0		0.0	-0.54	-0.5	0.0	VNGDF
VNGCF	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	VNGCF
VNGBF	-0.57	0.0	0.82	0.0	-0.54	0.0		0.88	0.0	VNGBF
VNGLF	-0.59	0.0	0.92	0.0	-0.5	0.0	0.88		0.0	VNGLF
VNGUF	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		VNGUF
	VDYIF	VFLQ	VEMGF	VNGGF	VNGDF	VNGCF	VNGBF	VNGLF	VNGUF

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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

VNGLF	+ 0.92	VEMGF
VNGLF	+ 0.88	VNGBF
VNGBF	+ 0.82	VEMGF
VNGDF	+ 0.16	VDYIF
VFLQ	+ 0.0	VDYIF
VNGGF	+ 0.0	VDYIF

High negative correlations

VNGLF	- 0.59	VDYIF
VNGBF	- 0.57	VDYIF
VNGBF	- 0.54	VNGDF
VNGLF	- 0.5	VNGDF
VEMGF	- 0.46	VDYIF
VNGDF	- 0.39	VEMGF

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
VDYIF	0.24	(0.07)	0.00	0.39	0.00	0.00	0.00	(0.28)	4.67
VFLQ	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VEMGF	0.09	0.01	0.14	(8.66)	0.00	(0.32)	0.34	(0.25)	1.59
VNGGF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VNGDF	0.60	(0.11)	0.00	(0.97)	0.00	0.00	1.35	(1.72)	3.82
VNGCF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VNGBF	0.26	0.01	0.15	(3.09)	0.24	(0.32)	0.52	(0.48)	1.49
VNGLF	0.87	0.15	0.16	0.34	0.91	(0.91)	2.11	(1.43)	5.87
VNGUF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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