Vanguard Tax Correlations

VTEB Etf

USD 50.36 0.14 0.28%

The current 90-days correlation between Vanguard Tax Exempt and iShares National Muni is 0.98 (i.e., Almost no diversification). The correlation of Vanguard Tax 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.

Vanguard Tax Correlation With Market

Modest diversification

The correlation between Vanguard Tax Exempt Bond and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Tax Exempt Bond 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 Tax Exempt Bond. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Vanguard Etf

1.0	MUB	iShares National Muni	Pair Corr
0.98	FMB	First Trust Managed	Pair Corr
0.93	ITM	VanEck Intermediate Muni	Pair Corr
0.94	MMIT	IQ MacKay Municipal	Pair Corr
0.94	HMOP	Hartford Municipal	Pair Corr
0.97	TAXF	American Century Div	Pair Corr
0.96	JMUB	JPMorgan Municipal	Pair Corr
0.94	MUST	Columbia Multi Sector	Pair Corr
0.96	MINO	PIMCO ETF Trust	Pair Corr
0.78	EWC	iShares MSCI Canada Sell-off Trend	Pair Corr
0.83	IRET	iREIT MarketVector	Pair Corr
0.77	DD	Dupont De Nemours	Pair Corr
0.81	PG	Procter Gamble	Pair Corr
0.74	DIS	Walt Disney	Pair Corr
0.65	AA	Alcoa Corp	Pair Corr
0.82	TRV	The Travelers Companies	Pair Corr
0.71	XOM	Exxon Mobil Corp	Pair Corr

Moving against Vanguard Etf

0.52

PFE

Pfizer Inc Aggressive Push

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.34	0.54	-0.68	0.78	0.45	-0.1	0.85	-0.78	-0.4	META
MSFT	-0.34		-0.63	0.28	-0.48	0.2	0.71	-0.47	0.59	-0.15	MSFT
UBER	0.54	-0.63		-0.15	0.73	-0.02	-0.49	0.72	-0.74	0.37	UBER
F	-0.68	0.28	-0.15		-0.38	-0.16	0.33	-0.41	0.58	0.77	F
T	0.78	-0.48	0.73	-0.38		0.06	-0.2	0.73	-0.78	0.0	T
A	0.45	0.2	-0.02	-0.16	0.06		0.21	0.53	-0.02	-0.29	A
CRM	-0.1	0.71	-0.49	0.33	-0.2	0.21		-0.25	0.43	-0.06	CRM
JPM	0.85	-0.47	0.72	-0.41	0.73	0.53	-0.25		-0.78	-0.08	JPM
MRK	-0.78	0.59	-0.74	0.58	-0.78	-0.02	0.43	-0.78		0.1	MRK
XOM	-0.4	-0.15	0.37	0.77	0.0	-0.29	-0.06	-0.08	0.1		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	+ 0.73	UBER
JPM	+ 0.73	T
JPM	+ 0.72	UBER

High negative correlations

MRK	- 0.78	JPM
MRK	- 0.78	T
MRK	- 0.78	META
MRK	- 0.74	UBER
F	- 0.68	META
UBER	- 0.63	MSFT

Vanguard Tax Competition Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Tax 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 Tax'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	1.30	0.26	0.16	0.64	1.38	(1.36)	3.22	(2.26)	7.11
MSFT	0.99	(0.06)	0.00	(0.23)	0.00	0.00	2.20	(1.90)	10.31
UBER	1.88	0.15	0.05	(2.68)	2.72	(1.87)	4.72	(3.13)	12.29
F	1.35	(0.21)	0.00	(0.27)	0.00	0.00	2.46	(2.90)	10.97
T	0.92	0.24	0.21	0.47	0.95	(1.07)	1.80	(1.75)	7.94
A	1.09	0.08	0.07	0.13	1.03	(1.33)	2.81	(1.91)	6.12
CRM	1.43	(0.07)	0.00	(0.08)	0.00	0.00	3.10	(2.95)	15.92
JPM	0.90	0.08	0.06	0.11	1.21	(0.99)	1.92	(1.51)	6.85
MRK	1.22	(0.07)	0.00	(1.13)	0.00	0.00	2.43	(1.81)	11.57
XOM	0.94	(0.13)	0.00	(0.24)	0.00	0.00	1.76	(2.14)	5.69

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