Vanguard FTSE Correlations

VA Etf

CAD 51.68 0.18 0.35%

The current 90-days correlation between Vanguard FTSE Developed and Hamilton Financials YIELD is 0.44 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard FTSE Developed moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard FTSE Correlation With Market

Very weak diversification

The correlation between Vanguard FTSE Developed and DJI is 0.57 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Vanguard FTSE 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 FTSE 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 FTSE - 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 FTSE Developed to buy it.

Moving together with Vanguard Etf

0.61	FTN	Financial 15 Split Split	Pair Corr
0.75	EIT-UN	Canoe EIT Income	Pair Corr
0.83	PHR	Purpose Real Estate	Pair Corr
0.62	GDV	Global Dividend Growth	Pair Corr
0.72	PR	Lysander Slater Pref	Pair Corr
0.77	XCG	iShares Canadian Growth	Pair Corr
0.85	WSRD	Wealthsimple Developed	Pair Corr
0.87	XEH	iShares MSCI Europe	Pair Corr
0.72	ZUE	BMO SP 500	Pair Corr
0.63	MNS	Royal Canadian Mint	Pair Corr
0.74	RPDH	RBC Quant European	Pair Corr
0.71	DRMC	Desjardins RI Canada	Pair Corr
0.77	PID	Purpose International	Pair Corr
0.74	TPU	TD Equity Index	Pair Corr
0.8	VUN	Vanguard Total Market	Pair Corr
0.73	ZCS	BMO Short Corporate	Pair Corr
0.9	XIN	iShares MSCI EAFE	Pair Corr
0.71	QAH	Mackenzie Large Cap	Pair Corr
0.78	VIDY	Vanguard FTSE Developed	Pair Corr
0.72	ONEC	Accelerate OneChoice	Pair Corr
0.7	FCVH	Fidelity Value Currency	Pair Corr
0.73	PFAE	Picton Mahoney Fortified	Pair Corr
0.73	PFLS	Picton Mahoney Fortified	Pair Corr
0.73	ZWS	BMO High Dividend	Pair Corr
0.89	THE	TD International Equity	Pair Corr
0.66	XMM	iShares MSCI Min	Pair Corr
0.72	RCD	RBC Quant Canadian	Pair Corr

Related Correlations Analysis

	FMAX	EQLI	BKCL	THE	PYF	MREL	HURA	ETSX	HUTS	PID
FMAX		0.76	0.89	0.87	0.29	0.66	0.0	0.91	-0.69	0.9	FMAX
EQLI	0.76		0.63	0.88	0.39	0.89	0.29	0.79	-0.28	0.82	EQLI
BKCL	0.89	0.63		0.84	0.02	0.56	-0.24	0.95	-0.69	0.92	BKCL
THE	0.87	0.88	0.84		0.28	0.83	0.17	0.91	-0.48	0.96	THE
PYF	0.29	0.39	0.02	0.28		0.38	0.55	0.18	-0.19	0.17	PYF
MREL	0.66	0.89	0.56	0.83	0.38		0.27	0.72	-0.2	0.76	MREL
HURA	0.0	0.29	-0.24	0.17	0.55	0.27		-0.04	0.02	-0.05	HURA
ETSX	0.91	0.79	0.95	0.91	0.18	0.72	-0.04		-0.6	0.95	ETSX
HUTS	-0.69	-0.28	-0.69	-0.48	-0.19	-0.2	0.02	-0.6		-0.51	HUTS
PID	0.9	0.82	0.92	0.96	0.17	0.76	-0.05	0.95	-0.51		PID
	FMAX	EQLI	BKCL	THE	PYF	MREL	HURA	ETSX	HUTS	PID

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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

PID	+ 0.96	THE
ETSX	+ 0.95	BKCL
PID	+ 0.95	ETSX
PID	+ 0.92	BKCL
ETSX	+ 0.91	FMAX
ETSX	+ 0.91	THE

High negative correlations

HUTS	- 0.69	BKCL
HUTS	- 0.69	FMAX
HUTS	- 0.6	ETSX
PID	- 0.51	HUTS
HUTS	- 0.48	THE
HUTS	- 0.28	EQLI

Vanguard FTSE Constituents Risk-Adjusted Indicators

There is a big difference between Vanguard Etf performing well and Vanguard FTSE 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 FTSE'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
FMAX	0.62	(0.02)	(0.04)	0.07	0.80	(0.66)	1.24	(1.30)	3.92
EQLI	0.42	0.01	(0.06)	0.11	0.42	(0.47)	0.86	(0.86)	2.14
BKCL	0.46	0.13	0.14	0.39	0.26	(0.55)	1.03	(0.98)	2.61
THE	0.45	0.07	0.06	0.21	0.31	(0.49)	1.09	(0.82)	2.04
PYF	0.12	(0.02)	0.00	(0.32)	0.00	0.00	0.30	(0.30)	0.89
MREL	0.58	0.08	0.02	0.34	0.63	(0.61)	1.30	(1.28)	5.22
HURA	2.77	(0.15)	(0.02)	0.01	3.59	(2.63)	6.16	(5.58)	16.59
ETSX	0.51	0.06	0.03	0.20	0.54	(0.54)	1.14	(1.02)	3.45
HUTS	0.40	0.01	(0.12)	(0.08)	0.58	(0.38)	0.81	(0.92)	2.24
PID	0.51	0.08	0.05	0.26	0.43	(0.61)	1.20	(0.98)	3.11

Be your own money manager

Our tools can tell you how much better you can do entering a position in Vanguard FTSE 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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