Vanguard Russell Correlations

VTWO Etf

USD 82.59 0.53 0.64%

The current 90-days correlation between Vanguard Russell 2000 and Vanguard Russell 2000 is 0.98 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Russell 2000 moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard Russell Correlation With Market

Good diversification

The correlation between Vanguard Russell 2000 and DJI is -0.1 (i.e., Good 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

0.99	VB	Vanguard Small Cap	Pair Corr
1.0	IJR	iShares Core SP	Pair Corr
1.0	IWM	iShares Russell 2000 Aggressive Push	Pair Corr
0.93	VRTIX	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.99	SPSM	SPDR Portfolio SP	Pair Corr
0.99	DFAS	Dimensional Small Cap	Pair Corr
0.99	VIOO	Vanguard SP Small	Pair Corr
1.0	PRFZ	Invesco FTSE RAFI	Pair Corr
0.95	VTI	Vanguard Total Stock	Pair Corr
0.93	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.93	IVV	iShares Core SP	Pair Corr
0.96	VUG	Vanguard Growth Index	Pair Corr
0.89	VO	Vanguard Mid Cap	Pair Corr
0.66	JPM	JPMorgan Chase	Pair Corr
0.67	BA	Boeing	Pair Corr
0.69	CAT	Caterpillar	Pair Corr
0.86	BAC	Bank of America Aggressive Push	Pair Corr
0.79	HD	Home Depot	Pair Corr
0.62	DIS	Walt Disney	Pair Corr

Moving against Vanguard Etf

0.72	BND	Vanguard Total Bond	Pair Corr
0.56	VEA	Vanguard FTSE Developed	Pair Corr
0.5	GDXU	MicroSectors Gold Miners	Pair Corr
0.73	VZ	Verizon Communications	Pair Corr
0.67	TRV	The Travelers Companies	Pair Corr
0.61	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.53	T	ATT Inc Sell-off Trend	Pair Corr
0.53	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	VTWG	VTWV	VONG	VONV	VONE
VTWG		0.99	0.96	0.5	0.92	VTWG
VTWV	0.99		0.96	0.59	0.95	VTWV
VONG	0.96	0.96		0.53	0.96	VONG
VONV	0.5	0.59	0.53		0.73	VONV
VONE	0.92	0.95	0.96	0.73		VONE
	VTWG	VTWV	VONG	VONV	VONE

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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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VTWG	1.09	(0.14)	0.00	0.71	0.00	0.00	2.01	(2.26)	6.10
VTWV	0.85	(0.10)	0.00	0.59	0.00	0.00	1.57	(2.25)	4.43
VONG	1.07	(0.16)	0.00	1.01	0.00	0.00	2.16	(2.61)	6.19
VONV	0.64	0.02	0.07	(0.55)	0.73	(0.70)	1.31	(1.30)	3.20
VONE	0.80	(0.08)	0.00	0.85	0.00	0.00	1.55	(1.78)	4.34

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