Vanguard Small Correlations

VSIAX Fund

USD 88.34 0.64 0.72%

The current 90-days correlation between Vanguard Small Cap and Vanguard Mid Cap Value is -0.07 (i.e., Good diversification). The correlation of Vanguard Small 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 Correlation With Market

Very poor diversification

The correlation between Vanguard Small Cap Value and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value 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 Value. 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 nation.

Moving together with Vanguard Mutual Fund

0.8	VMIAX	Vanguard Materials Index	Pair Corr
0.74	VMLUX	Vanguard Limited Term	Pair Corr
0.74	VMLTX	Vanguard Limited Term	Pair Corr
0.75	VMNVX	Vanguard Global Minimum	Pair Corr
0.73	VMMSX	Vanguard Emerging Markets	Pair Corr
0.65	VMNIX	Vanguard Market Neutral	Pair Corr
0.65	VMNFX	Vanguard Market Neutral	Pair Corr
0.79	VMSIX	Vanguard Multi Sector	Pair Corr
0.83	VMVAX	Vanguard Mid Cap	Pair Corr
0.62	VNJUX	Vanguard New Jersey	Pair Corr
0.62	VNJTX	Vanguard New Jersey	Pair Corr
0.63	VNYTX	Vanguard New York	Pair Corr
0.63	VNYUX	Vanguard New York	Pair Corr
0.63	VOHIX	Vanguard Ohio Long	Pair Corr
0.77	VPADX	Vanguard Pacific Stock	Pair Corr
0.74	VPCCX	Vanguard Primecap	Pair Corr
0.62	VPAIX	Vanguard Pennsylvania	Pair Corr
0.72	VPMCX	Vanguard Primecap	Pair Corr
0.72	VPMAX	Vanguard Primecap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.65	VQNPX	Vanguard Growth And	Pair Corr
0.75	VAIPX	Vanguard Inflation-protec	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.75	VSCGX	Vanguard Lifestrategy	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.76	VSCSX	Vanguard Short Term	Pair Corr
0.96	VSEQX	Vanguard Strategic Equity	Pair Corr
0.77	VASGX	Vanguard Lifestrategy	Pair Corr
0.86	VSGAX	Vanguard Small Cap	Pair Corr
0.71	VASIX	Vanguard Lifestrategy	Pair Corr
0.96	VASVX	Vanguard Selected Value	Pair Corr
0.86	VSGIX	Vanguard Small Cap	Pair Corr
0.7	VSGDX	Vanguard Short Term	Pair Corr
0.7	VSGBX	Vanguard Short Term	Pair Corr
1.0	VSIIX	Vanguard Small Cap	Pair Corr
0.7	VSIGX	Vanguard Intermediate	Pair Corr
0.96	VSMAX	Vanguard Small Cap	Pair Corr
0.76	VSMGX	Vanguard Lifestrategy	Pair Corr
0.69	VSMPX	Vanguard Total Stock	Pair Corr

Related Correlations Analysis

	VMVAX	VGSNX	VTWIX	VSGAX	VEMPX	VEXAX	VSMAX	VCSAX	VWIUX	VVIAX
VMVAX		0.75	0.85	0.84	0.86	0.86	0.86	-0.57	0.75	0.9	VMVAX
VGSNX	0.75		0.59	0.66	0.67	0.67	0.71	-0.33	0.55	0.64	VGSNX
VTWIX	0.85	0.59		0.94	0.94	0.94	0.89	-0.63	0.93	0.96	VTWIX
VSGAX	0.84	0.66	0.94		0.99	0.99	0.97	-0.62	0.9	0.95	VSGAX
VEMPX	0.86	0.67	0.94	0.99		1.0	0.98	-0.61	0.89	0.96	VEMPX
VEXAX	0.86	0.67	0.94	0.99	1.0		0.98	-0.61	0.89	0.96	VEXAX
VSMAX	0.86	0.71	0.89	0.97	0.98	0.98		-0.51	0.81	0.94	VSMAX
VCSAX	-0.57	-0.33	-0.63	-0.62	-0.61	-0.61	-0.51		-0.64	-0.59	VCSAX
VWIUX	0.75	0.55	0.93	0.9	0.89	0.89	0.81	-0.64		0.89	VWIUX
VVIAX	0.9	0.64	0.96	0.95	0.96	0.96	0.94	-0.59	0.89		VVIAX
	VMVAX	VGSNX	VTWIX	VSGAX	VEMPX	VEXAX	VSMAX	VCSAX	VWIUX	VVIAX

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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

VEXAX	+ 1.0	VEMPX
VEMPX	+ 0.99	VSGAX
VEXAX	+ 0.99	VSGAX
VSMAX	+ 0.98	VEMPX
VSMAX	+ 0.98	VEXAX
VSMAX	+ 0.97	VSGAX

High negative correlations

VWIUX	- 0.64	VCSAX
VCSAX	- 0.63	VTWIX
VCSAX	- 0.62	VSGAX
VCSAX	- 0.61	VEXAX
VCSAX	- 0.61	VEMPX
VVIAX	- 0.59	VCSAX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small 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'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
VMVAX	0.52	0.04	(0.11)	(0.21)	0.59	(0.60)	1.28	(0.87)	3.95
VGSNX	0.67	(0.05)	0.00	(1.56)	0.00	0.00	1.37	(1.46)	3.95
VTWIX	0.49	0.02	0.02	0.12	0.53	(0.52)	1.17	(0.65)	4.21
VSGAX	0.89	(0.05)	(0.02)	0.05	0.97	(0.97)	1.81	(1.41)	5.98
VEMPX	0.80	(0.05)	(0.01)	0.06	0.88	(0.88)	1.92	(1.55)	6.17
VEXAX	0.80	(0.05)	(0.01)	0.06	0.88	(0.88)	1.92	(1.55)	6.18
VSMAX	0.75	(0.07)	(0.04)	0.04	0.83	(0.84)	1.93	(1.26)	6.07
VCSAX	0.52	(0.08)	0.00	(0.31)	0.00	0.00	1.02	(1.11)	3.74
VWIUX	0.11	0.05	(0.40)	(2.02)	0.00	(0.18)	0.37	(0.15)	0.59
VVIAX	0.44	(0.01)	(0.06)	0.07	0.43	(0.47)	0.91	(0.84)	3.10

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