Vanguard Total Correlations

VT Etf

USD 117.60 0.27 0.23%

The current 90-days correlation between Vanguard Total World and Vanguard Total International is 0.88 (i.e., Very poor diversification). The correlation of Vanguard Total 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 Total Correlation With Market

Poor diversification

The correlation between Vanguard Total World and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total 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 Total 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 estimate.

Moving together with Vanguard Etf

1.0	ACWI	iShares MSCI ACWI	Pair Corr
0.87	IOO	iShares Global 100	Pair Corr
0.99	URTH	iShares MSCI World	Pair Corr
1.0	CRBN	iShares MSCI ACWI	Pair Corr
0.68	GLOV	Goldman Sachs ActiveBeta	Pair Corr
0.99	KOKU	Xtrackers MSCI Kokusai	Pair Corr
1.0	SPGM	SPDR Portfolio MSCI	Pair Corr
0.82	WMT	Walmart	Pair Corr
0.69	DD	Dupont De Nemours	Pair Corr
0.66	AXP	American Express	Pair Corr
0.85	JPM	JPMorgan Chase	Pair Corr

Moving against Vanguard Etf

0.32

WTID

UBS ETRACS

Pair Corr

Related Correlations Analysis

	VXUS	VTI	BND	VWO	VEU
VXUS		-0.3	0.87	0.9	1.0	VXUS
VTI	-0.3		-0.5	-0.2	-0.32	VTI
BND	0.87	-0.5		0.73	0.88	BND
VWO	0.9	-0.2	0.73		0.9	VWO
VEU	1.0	-0.32	0.88	0.9		VEU
	VXUS	VTI	BND	VWO	VEU

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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

VEU	+ 1.0	VXUS
VWO	+ 0.9	VXUS
VEU	+ 0.9	VWO
VEU	+ 0.88	BND
BND	+ 0.87	VXUS
VWO	+ 0.73	BND

High negative correlations

BND	- 0.5	VTI
VEU	- 0.32	VTI
VTI	- 0.3	VXUS
VWO	- 0.2	VTI

Vanguard Total Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Total 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 Total'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
VXUS	0.65	0.10	0.15	0.12	0.80	(0.67)	1.31	(1.34)	4.79
VTI	0.81	(0.05)	0.00	(0.13)	0.00	0.00	1.31	(1.85)	4.56
BND	0.23	0.02	0.29	0.49	0.21	(0.24)	0.53	(0.38)	1.29
VWO	0.74	0.04	0.09	0.04	0.94	(0.79)	1.52	(1.75)	5.22
VEU	0.65	0.11	0.15	0.13	0.80	(0.69)	1.26	(1.34)	4.80

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