Vanguard Value Correlations

VTV Etf

USD 172.49 0.93 0.54%

The current 90-days correlation between Vanguard Value Index and Vanguard Growth Index is 0.58 (i.e., Very weak diversification). The correlation of Vanguard Value 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 Value Correlation With Market

Poor diversification

The correlation between Vanguard Value Index and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index 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 Value Index. 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

0.99	VYM	Vanguard High Dividend	Pair Corr
0.99	IWD	iShares Russell 1000	Pair Corr
0.97	DGRO	iShares Core Dividend	Pair Corr
0.89	IVE	iShares SP 500	Pair Corr
0.79	DVY	iShares Select Dividend	Pair Corr
0.89	SPYV	SPDR Portfolio SP	Pair Corr
0.73	FVD	First Trust Value	Pair Corr
0.81	IUSV	iShares Core SP	Pair Corr
0.71	NOBL	ProShares SP 500	Pair Corr
0.88	JPM	JPMorgan Chase	Pair Corr
0.78	GE	GE Aerospace	Pair Corr
0.71	WMT	Walmart	Pair Corr

Moving against Vanguard Etf

0.64

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	VUG	VBR	VOE	VB	VEA
VUG		0.92	0.7	0.95	-0.5	VUG
VBR	0.92		0.85	0.99	-0.41	VBR
VOE	0.7	0.85		0.8	0.03	VOE
VB	0.95	0.99	0.8		-0.47	VB
VEA	-0.5	-0.41	0.03	-0.47		VEA
	VUG	VBR	VOE	VB	VEA

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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

VB	+ 0.99	VBR
VB	+ 0.95	VUG
VBR	+ 0.92	VUG
VOE	+ 0.85	VBR
VB	+ 0.8	VOE
VOE	+ 0.7	VUG

High negative correlations

VEA	- 0.5	VUG
VEA	- 0.47	VB
VEA	- 0.41	VBR

Vanguard Value Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Value 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 Value'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
VUG	1.08	(0.09)	0.00	(0.16)	0.00	0.00	1.79	(2.62)	6.53
VBR	0.81	(0.09)	0.00	(0.17)	0.00	0.00	1.35	(1.96)	3.78
VOE	0.68	(0.02)	0.00	(0.10)	0.00	0.00	1.21	(1.25)	3.42
VB	0.91	(0.11)	0.00	(0.18)	0.00	0.00	1.41	(2.41)	4.41
VEA	0.68	0.12	0.17	0.14	0.76	(0.75)	1.28	(1.25)	4.68

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