Vanguard Global Correlations

VVLU Etf

76.10 0.53 0.70%

The current 90-days correlation between Vanguard Global Value and Betashares Asia Technology is 0.14 (i.e., Average diversification). The correlation of Vanguard Global 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 Global Correlation With Market

Poor diversification

The correlation between Vanguard Global Value and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Global Value and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Vanguard Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vanguard Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Vanguard Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Vanguard Global Value to buy it.

Moving together with Vanguard Etf

0.81	A200	BetaShares Australia 200	Pair Corr
0.93	AAA	Australian High Interest	Pair Corr
0.65	AASF	Airlie Australian Share	Pair Corr
0.86	VBLD	Vanguard Global Infr	Pair Corr
0.81	VAS	Vanguard Australian	Pair Corr
0.84	E200	SPDR SPASX 200	Pair Corr
0.91	QPON	Betashares Australian	Pair Corr

Related Correlations Analysis

	ASIA	CD3	A200	AAA	AASF	VBLD	VAS	E200
ASIA		0.55	0.59	0.67	0.58	0.23	0.63	0.35	ASIA
CD3	0.55		0.3	0.26	0.42	-0.07	0.32	0.15	CD3
A200	0.59	0.3		0.83	0.89	0.71	1.0	0.94	A200
AAA	0.67	0.26	0.83		0.65	0.8	0.84	0.78	AAA
AASF	0.58	0.42	0.89	0.65		0.48	0.89	0.79	AASF
VBLD	0.23	-0.07	0.71	0.8	0.48		0.7	0.83	VBLD
VAS	0.63	0.32	1.0	0.84	0.89	0.7		0.92	VAS
E200	0.35	0.15	0.94	0.78	0.79	0.83	0.92		E200
	ASIA	CD3	A200	AAA	AASF	VBLD	VAS	E200

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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

VAS	+ 1.0	A200
E200	+ 0.94	A200
E200	+ 0.92	VAS
AASF	+ 0.89	A200
VAS	+ 0.89	AASF
VAS	+ 0.84	AAA

High negative correlations

VBLD

- 0.07

CD3

Vanguard Global Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard Global 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 Global'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
ASIA	0.97	0.13	0.04	0.65	0.93	(1.10)	2.86	(2.20)	8.93
CD3	1.24	0.04	(0.02)	(4.27)	1.62	(1.68)	3.13	(3.05)	8.43
A200	0.46	0.04	(0.04)	0.25	0.54	(0.46)	0.89	(0.74)	3.16
AAA	0.01	0.00	0.00	0.00	0.00	0.00	0.04	(0.02)	0.06
AASF	0.53	0.02	(0.06)	0.16	0.56	(0.63)	1.04	(1.03)	3.06
VBLD	0.55	0.09	(0.01)	1.60	0.46	(0.65)	1.46	(0.92)	3.21
VAS	0.47	0.05	(0.04)	0.25	0.57	(0.48)	0.88	(0.82)	3.06
E200	0.50	0.04	(0.05)	0.30	0.60	(0.54)	1.05	(0.89)	3.06

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Our tools can tell you how much better you can do entering a position in Vanguard Global without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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