Vanguard Mid-cap Correlations

VMCIX Fund

USD 77.25 1.19 1.56%

The current 90-days correlation between Vanguard Mid Cap and Vanguard Mid Cap Index is 1.0 (i.e., No risk reduction). The correlation of Vanguard Mid-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 Mid-cap Correlation With Market

Very poor diversification

The correlation between Vanguard Mid Cap Index and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mid Cap Index 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 Mid Cap Index. 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 gross domestic product.

Moving together with Vanguard Mutual Fund

0.79	VMVIX	Vanguard Mid Cap	Pair Corr
0.93	NAESX	Vanguard Small Cap	Pair Corr
0.61	VRTPX	Vanguard Reit Ii	Pair Corr
0.81	VAIGX	Vanguard Advice Select	Pair Corr
0.93	VSCIX	Vanguard Small Cap	Pair Corr
0.93	VSCPX	Vanguard Small Cap	Pair Corr
0.85	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.38	VMNIX	Vanguard Market Neutral	Pair Corr
0.37	VMNFX	Vanguard Market Neutral	Pair Corr

Related Correlations Analysis

	VIMAX	VMCPX	VO	VTV	VSCIX	VB	VEA	VTMGX	VTMNX	VDADX
VIMAX		1.0	1.0	0.56	0.93	0.93	0.46	0.48	0.29	0.52	VIMAX
VMCPX	1.0		1.0	0.57	0.93	0.93	0.46	0.48	0.29	0.53	VMCPX
VO	1.0	1.0		0.57	0.93	0.93	0.47	0.48	0.29	0.53	VO
VTV	0.56	0.57	0.57		0.52	0.52	0.9	0.91	0.8	0.95	VTV
VSCIX	0.93	0.93	0.93	0.52		1.0	0.47	0.48	0.27	0.55	VSCIX
VB	0.93	0.93	0.93	0.52	1.0		0.47	0.48	0.27	0.55	VB
VEA	0.46	0.46	0.47	0.9	0.47	0.47		1.0	0.9	0.94	VEA
VTMGX	0.48	0.48	0.48	0.91	0.48	0.48	1.0		0.9	0.94	VTMGX
VTMNX	0.29	0.29	0.29	0.8	0.27	0.27	0.9	0.9		0.84	VTMNX
VDADX	0.52	0.53	0.53	0.95	0.55	0.55	0.94	0.94	0.84		VDADX
	VIMAX	VMCPX	VO	VTV	VSCIX	VB	VEA	VTMGX	VTMNX	VDADX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Mid-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 Mid-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
VIMAX	0.58	(0.06)	0.00	(0.02)	0.00	0.00	1.14	(1.50)	4.16
VMCPX	0.58	(0.06)	0.00	(0.02)	0.00	0.00	1.14	(1.50)	4.16
VO	0.59	(0.06)	0.00	(0.02)	0.00	0.00	1.16	(1.47)	4.22
VTV	0.46	0.01	(0.01)	0.05	0.53	(0.50)	0.91	(1.00)	3.11
VSCIX	0.80	(0.04)	(0.02)	0.01	1.07	(0.76)	1.76	(1.75)	6.04
VB	0.80	(0.04)	(0.02)	0.01	1.11	(0.74)	1.83	(1.77)	5.98
VEA	0.60	0.00	(0.01)	0.04	0.76	(0.57)	1.10	(1.29)	3.52
VTMGX	0.62	(0.01)	(0.01)	0.03	0.85	(0.57)	1.16	(1.31)	3.77
VTMNX	0.60	0.00	(0.05)	0.16	0.86	(0.55)	1.05	(1.31)	3.71
VDADX	0.46	0.01	0.00	0.06	0.53	(0.51)	0.99	(0.88)	3.14

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