Vanguard Russell Correlations

VTWG Etf

USD 203.16 1.57 0.77%

The current 90-days correlation between Vanguard Russell 2000 and Vanguard Russell 2000 is 0.87 (i.e., Very poor 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.

Vanguard Russell Correlation With Market

Very weak diversification

The correlation between Vanguard Russell 2000 and DJI is 0.53 (i.e., Very weak 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 housing.

Moving together with Vanguard Etf

0.96	VBK	Vanguard Small Cap	Pair Corr
0.61	IWO	iShares Russell 2000	Pair Corr
0.68	IJT	iShares SP Small	Pair Corr
0.68	SLYG	SPDR SP 600	Pair Corr
0.69	JKK	iShares Morningstar	Pair Corr
0.92	VIOG	Vanguard SP Small	Pair Corr
0.64	ISCG	iShares Morningstar	Pair Corr
0.7	TRV	The Travelers Companies	Pair Corr
0.73	AA	Alcoa Corp	Pair Corr
0.61	BAC	Bank of America	Pair Corr
0.86	HD	Home Depot	Pair Corr
0.8	CAT	Caterpillar	Pair Corr

Moving against Vanguard Etf

0.55	BA	Boeing	Pair Corr
0.51	PFE	Pfizer Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	VTWV	VIOG	VTHR	VONV	IVOG
VTWV		0.93	0.43	0.63	0.93	VTWV
VIOG	0.93		0.46	0.61	0.9	VIOG
VTHR	0.43	0.46		0.83	0.53	VTHR
VONV	0.63	0.61	0.83		0.63	VONV
IVOG	0.93	0.9	0.53	0.63		IVOG
	VTWV	VIOG	VTHR	VONV	IVOG

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
VTWV	0.79	(0.10)	(0.12)	1.60	(1.50)	6.14
VIOG	0.82	(0.10)	(3.37)	1.64	(1.69)	5.64
VTHR	0.64	(0.03)	(0.06)	1.22	(1.54)	3.82
VONV	0.54	(0.05)	(0.09)	1.13	(1.30)	2.87
IVOG	0.74	(0.08)	(0.10)	1.49	(1.21)	5.64

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