Vanguard Long-term Correlations

VBLAX Fund

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The correlation of Vanguard Long-term 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 Long-term Correlation With Market

Good diversification

The correlation between Vanguard Long Term Bond and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Long Term Bond 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 Long Term Bond. 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

0.65	VPACX	Vanguard Pacific Stock	Pair Corr
0.65	VPKIX	Vanguard Pacific Stock	Pair Corr
0.92	VAIPX	Vanguard Inflation-protec	Pair Corr
0.64	VSCSX	Vanguard Short Term	Pair Corr
0.66	VSBIX	Vanguard Short Term	Pair Corr

Moving against Vanguard Mutual Fund

0.78	VQNPX	Vanguard Growth And	Pair Corr
0.73	NAESX	Vanguard Small Cap	Pair Corr
0.65	VMVAX	Vanguard Mid Cap	Pair Corr
0.65	VMVIX	Vanguard Mid Cap	Pair Corr
0.65	VMVLX	Vanguard Mega Cap	Pair Corr
0.61	VPCCX	Vanguard Primecap	Pair Corr
0.56	VAIGX	Vanguard Advice Select	Pair Corr
0.46	VPMCX	Vanguard Primecap	Pair Corr
0.46	VPMAX	Vanguard Primecap	Pair Corr
0.44	VAGVX	Vanguard Advice Select	Pair Corr
0.4	VMIAX	Vanguard Materials Index	Pair Corr
0.34	VMVFX	Vanguard Global Minimum	Pair Corr
0.31	VMNVX	Vanguard Global Minimum	Pair Corr
0.78	VSPGX	Vanguard Sp 500	Pair Corr
0.77	VSEMX	Vanguard Extended Market	Pair Corr
0.77	VSMPX	Vanguard Total Stock	Pair Corr
0.77	VSTSX	Vanguard Total Stock	Pair Corr
0.75	VSGAX	Vanguard Small Cap	Pair Corr
0.75	VSGIX	Vanguard Small Cap	Pair Corr
0.74	VSCIX	Vanguard Small Cap	Pair Corr
0.74	VSCPX	Vanguard Small Cap	Pair Corr

Related Correlations Analysis

	AAVXF	SCRYY	444859BR2	AQUI	SCRYX	MSTSX	LBHIX	ID	SCAXF
AAVXF		0.0	0.0	-1.0	0.0	0.0	0.0	0.0	0.0	AAVXF
SCRYY	0.0		-0.44	0.0	0.44	0.47	0.5	0.45	-0.63	SCRYY
444859BR2	0.0	-0.44		0.0	-0.63	-0.62	-0.59	-0.65	0.21	444859BR2
AQUI	-1.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
SCRYX	0.0	0.44	-0.63	0.0		0.58	0.6	0.62	-0.35	SCRYX
MSTSX	0.0	0.47	-0.62	0.0	0.58		0.72	0.4	0.03	MSTSX
LBHIX	0.0	0.5	-0.59	0.0	0.6	0.72		0.32	-0.21	LBHIX
ID	0.0	0.45	-0.65	0.0	0.62	0.4	0.32		-0.44	ID
SCAXF	0.0	-0.63	0.21	0.0	-0.35	0.03	-0.21	-0.44		SCAXF
	AAVXF	SCRYY	444859BR2	AQUI	SCRYX	MSTSX	LBHIX	ID	SCAXF

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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

LBHIX	+ 0.72	MSTSX
ID	+ 0.62	SCRYX
LBHIX	+ 0.6	SCRYX
MSTSX	+ 0.58	SCRYX
LBHIX	+ 0.5	SCRYY
MSTSX	+ 0.47	SCRYY

High negative correlations

AQUI	- 1.0	AAVXF
ID	- 0.65	444859BR2
SCRYX	- 0.63	444859BR2
SCAXF	- 0.63	SCRYY
MSTSX	- 0.62	444859BR2
LBHIX	- 0.59	444859BR2

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Long-term 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 Long-term'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
AAVXF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SCRYY	2.12	0.43	0.13	(1.15)	2.05	(2.81)	5.61	(4.09)	12.99
444859BR2	1.32	0.04	0.00	0.04	0.00	0.00	5.93	(4.60)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SCRYX	0.97	0.09	0.01	0.99	0.96	(1.10)	2.39	(1.69)	7.88
MSTSX	0.49	(0.03)	(0.09)	0.05	0.52	(0.59)	1.21	(1.02)	2.80
LBHIX	0.11	0.00	(0.27)	0.00	0.00	(0.29)	0.24	(0.24)	0.96
ID	3.81	0.25	0.03	1.85	4.78	(4.93)	7.69	(7.69)	23.97
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47

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