Vanguard Global Correlations

VVL Etf

CAD 63.84 0.86 1.37%

The current 90-days correlation between Vanguard Global Value and Fidelity Canadian Value is 0.6 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Global Value moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Vanguard Global Correlation With Market

Very weak diversification

The correlation between Vanguard Global Value and DJI is 0.52 (i.e., Very weak 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

0.83	XEQT	iShares Core Equity	Pair Corr
0.85	VEQT	Vanguard All Equity	Pair Corr
0.92	HCAL	Hamilton Enhanced	Pair Corr
0.64	HHL-B	Harvest Healthcare	Pair Corr
0.85	EQL-U	Invesco SP 500	Pair Corr

Moving against Vanguard Etf

0.57	NSGE	NBI Sustainable Global	Pair Corr
0.51	HBGD-U	Global X Big	Pair Corr
0.44	XMW	iShares MSCI Min	Pair Corr
0.35	HBGD	Global X Big	Pair Corr

Related Correlations Analysis

	FCCV	TQSM	NSGE	ZGI	HAZ	NGPE	TQGM	CBH	ZGRO	DXP
FCCV		0.17	-0.76	-0.5	-0.01	-0.4	0.62	-0.44	0.62	0.7	FCCV
TQSM	0.17		0.28	-0.02	0.58	0.55	0.49	0.04	0.45	0.0	TQSM
NSGE	-0.76	0.28		0.31	0.35	0.56	-0.07	0.43	-0.09	-0.39	NSGE
ZGI	-0.5	-0.02	0.31		0.31	0.11	-0.44	0.42	-0.35	-0.71	ZGI
HAZ	-0.01	0.58	0.35	0.31		0.28	0.37	0.27	0.42	-0.23	HAZ
NGPE	-0.4	0.55	0.56	0.11	0.28		-0.13	-0.02	-0.2	-0.42	NGPE
TQGM	0.62	0.49	-0.07	-0.44	0.37	-0.13		0.03	0.95	0.72	TQGM
CBH	-0.44	0.04	0.43	0.42	0.27	-0.02	0.03		0.07	-0.19	CBH
ZGRO	0.62	0.45	-0.09	-0.35	0.42	-0.2	0.95	0.07		0.68	ZGRO
DXP	0.7	0.0	-0.39	-0.71	-0.23	-0.42	0.72	-0.19	0.68		DXP
	FCCV	TQSM	NSGE	ZGI	HAZ	NGPE	TQGM	CBH	ZGRO	DXP

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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

ZGRO	+ 0.95	TQGM
DXP	+ 0.72	TQGM
DXP	+ 0.7	FCCV
DXP	+ 0.68	ZGRO
TQGM	+ 0.62	FCCV
ZGRO	+ 0.62	FCCV

High negative correlations

NSGE	- 0.76	FCCV
DXP	- 0.71	ZGI
ZGI	- 0.5	FCCV
TQGM	- 0.44	ZGI
CBH	- 0.44	FCCV
DXP	- 0.42	NGPE

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
FCCV	0.72	0.11	0.07	0.30	0.71	(0.76)	1.79	(1.43)	4.07
TQSM	0.71	(0.06)	(0.08)	0.00	0.97	(0.66)	1.54	(1.41)	4.60
NSGE	0.43	(0.07)	0.00	(0.05)	0.00	0.00	1.05	(1.35)	4.69
ZGI	0.51	(0.05)	0.00	(5.43)	0.00	0.00	0.82	(1.21)	2.42
HAZ	0.47	(0.05)	0.00	(0.04)	0.00	0.00	0.91	(0.98)	2.78
NGPE	0.99	(0.19)	0.00	(0.17)	0.00	0.00	1.82	(2.60)	13.42
TQGM	0.53	0.01	(0.05)	0.10	0.63	(0.55)	1.13	(1.15)	2.91
CBH	0.13	(0.01)	(0.41)	(0.16)	0.19	(0.14)	0.22	(0.33)	0.94
ZGRO	0.53	0.02	(0.05)	0.14	0.64	(0.56)	1.10	(1.14)	3.01
DXP	0.23	0.04	(0.10)	0.37	0.14	(0.26)	0.47	(0.47)	1.51

Be your own money manager

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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