Vanguard FTSE Correlations

VSS Etf

USD 118.59 0.35 0.29%

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

Good diversification

The correlation between Vanguard FTSE All World and DJI is -0.16 (i.e., Good 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.

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

Moving together with Vanguard Etf

0.83	SCZ	iShares MSCI EAFE	Pair Corr
0.84	GWX	SPDR SP International	Pair Corr
0.93	ISCF	iShares MSCI Intl	Pair Corr
0.82	DFIS	Dimensional ETF Trust	Pair Corr
0.71	HSCZ	iShares Currency Hedged	Pair Corr
0.73	GDXU	MicroSectors Gold Miners	Pair Corr
0.68	IBM	International Business	Pair Corr
0.68	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.74	VZ	Verizon Communications	Pair Corr
0.77	MCD	McDonalds	Pair Corr
0.72	KO	Coca Cola	Pair Corr

Moving against Vanguard Etf

0.58	MRK	Merck Company	Pair Corr
0.36	DIS	Walt Disney	Pair Corr
0.49	CAT	Caterpillar	Pair Corr
0.36	HD	Home Depot	Pair Corr
0.31	BAC	Bank of America Aggressive Push	Pair Corr
0.31	AXP	American Express	Pair Corr

Related Correlations Analysis

	VNQI	VEU	VBR	VPL	VOE
VNQI		0.85	-0.22	0.94	0.21	VNQI
VEU	0.85		-0.48	0.92	-0.04	VEU
VBR	-0.22	-0.48		-0.27	0.84	VBR
VPL	0.94	0.92	-0.27		0.16	VPL
VOE	0.21	-0.04	0.84	0.16		VOE
	VNQI	VEU	VBR	VPL	VOE

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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

VPL	+ 0.94	VNQI
VPL	+ 0.92	VEU
VEU	+ 0.85	VNQI
VOE	+ 0.84	VBR
VOE	+ 0.21	VNQI
VOE	+ 0.16	VPL

High negative correlations

VBR	- 0.48	VEU
VPL	- 0.27	VBR
VBR	- 0.22	VNQI
VOE	- 0.04	VEU

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
VNQI	0.62	0.04	0.07	0.05	0.78	(0.65)	1.23	(1.39)	3.14
VEU	0.65	0.07	0.12	(0.43)	0.80	(0.69)	1.26	(1.34)	4.80
VBR	0.84	(0.08)	0.00	(0.13)	0.00	0.00	1.46	(1.96)	3.78
VPL	0.70	0.07	0.08	0.08	0.86	(0.73)	1.60	(1.35)	4.14
VOE	0.70	(0.01)	0.00	(0.05)	0.00	0.00	1.43	(1.25)	3.42

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