Vanguard Small-cap Correlations

VISGX Fund

USD 85.38 0.83 0.98%

The current 90-days correlation between Vanguard Small Cap and Pgim Jennison Technology is 0.74 (i.e., Poor diversification). The correlation of Vanguard Small-cap 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 Small-cap Correlation With Market

Significant diversification

The correlation between Vanguard Small Cap Growth and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Growth 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 Small Cap Growth. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Vanguard Mutual Fund

0.7	NAESX	Vanguard Small Cap	Pair Corr
0.94	VSCIX	Vanguard Small Cap	Pair Corr
0.94	VSCPX	Vanguard Small Cap	Pair Corr
0.75	VSGAX	Vanguard Small Cap	Pair Corr
1.0	VSGIX	Vanguard Small Cap	Pair Corr
0.73	VSIAX	Vanguard Small Cap	Pair Corr
0.73	VSIIX	Vanguard Small Cap	Pair Corr
0.94	VSMAX	Vanguard Small Cap	Pair Corr

Moving against Vanguard Mutual Fund

0.5	VMNIX	Vanguard Market Neutral	Pair Corr
0.49	VMNFX	Vanguard Market Neutral	Pair Corr

Related Correlations Analysis

	PGKCX	TOWTX	TEPIX	GISTX	RAGTX	JGLTX	FRBRX	PTTEX
PGKCX		0.53	0.92	0.39	0.98	0.87	0.54	0.98	PGKCX
TOWTX	0.53		0.68	0.41	0.61	0.76	0.14	0.55	TOWTX
TEPIX	0.92	0.68		0.36	0.93	0.96	0.51	0.92	TEPIX
GISTX	0.39	0.41	0.36		0.38	0.29	0.56	0.32	GISTX
RAGTX	0.98	0.61	0.93	0.38		0.91	0.48	0.97	RAGTX
JGLTX	0.87	0.76	0.96	0.29	0.91		0.31	0.87	JGLTX
FRBRX	0.54	0.14	0.51	0.56	0.48	0.31		0.46	FRBRX
PTTEX	0.98	0.55	0.92	0.32	0.97	0.87	0.46		PTTEX
	PGKCX	TOWTX	TEPIX	GISTX	RAGTX	JGLTX	FRBRX	PTTEX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small-cap Mutual Fund 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 Small-cap'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
PGKCX	0.98	0.12	0.04	1.34	1.33	(0.96)	2.08	(2.65)	6.20
TOWTX	0.70	0.01	0.01	0.08	0.88	(0.70)	1.59	(1.33)	4.32
TEPIX	1.39	0.11	0.07	0.14	2.12	(1.27)	2.78	(3.82)	8.82
GISTX	1.48	0.56	0.37	0.80	0.98	(1.84)	2.44	(2.49)	35.52
RAGTX	1.06	0.14	0.04	1.14	1.46	(1.01)	2.23	(2.90)	6.27
JGLTX	0.86	0.02	0.02	0.10	1.29	(0.84)	2.13	(2.26)	5.45
FRBRX	1.04	0.38	0.28	0.63	0.83	(1.19)	2.32	(1.60)	6.04
PTTEX	0.97	0.13	0.04	1.55	1.39	(0.94)	1.93	(2.27)	6.21

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