Vanguard Long-term Correlations

VBLLX Fund

USD 10.34 0.01 0.1%

The current 90-days correlation between Vanguard Long Term and Franklin Emerging Market is 0.19 (i.e., Average diversification). 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

Average diversification

The correlation between Vanguard Long Term Bond and DJI is 0.19 (i.e., Average 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 bureau of economic analysis.

Moving together with Vanguard Mutual Fund

0.82	VMIAX	Vanguard Materials Index	Pair Corr
0.89	VMNVX	Vanguard Global Minimum	Pair Corr
0.69	VMMSX	Vanguard Emerging Markets	Pair Corr
0.75	VMVAX	Vanguard Mid Cap	Pair Corr
0.75	VMVIX	Vanguard Mid Cap	Pair Corr
0.83	VMVFX	Vanguard Global Minimum	Pair Corr
0.7	VMVLX	Vanguard Mega Cap	Pair Corr
0.66	VNJUX	Vanguard New Jersey	Pair Corr
0.67	VNJTX	Vanguard New Jersey	Pair Corr
0.73	VNYTX	Vanguard New York	Pair Corr
0.72	VNYUX	Vanguard New York	Pair Corr
0.72	VOHIX	Vanguard Ohio Long	Pair Corr
0.88	VPADX	Vanguard Pacific Stock	Pair Corr
0.88	VPACX	Vanguard Pacific Stock	Pair Corr
0.84	VPCCX	Vanguard Primecap	Pair Corr
0.7	VPALX	Vanguard Pennsylvania	Pair Corr
0.72	VPAIX	Vanguard Pennsylvania	Pair Corr
0.88	VPKIX	Vanguard Pacific Stock	Pair Corr
0.85	VPMCX	Vanguard Primecap	Pair Corr
0.63	VPMAX	Vanguard Primecap	Pair Corr
0.8	VQNPX	Vanguard Growth And	Pair Corr
0.88	VRTPX	Vanguard Reit Ii	Pair Corr
0.83	VADGX	Vanguard Advice Select	Pair Corr
0.88	VAGVX	Vanguard Advice Select	Pair Corr
0.74	VAIGX	Vanguard Advice Select	Pair Corr
0.91	VAIPX	Vanguard Inflation	Pair Corr
0.81	VSCGX	Vanguard Lifestrategy	Pair Corr
0.8	VSEQX	Vanguard Strategic Equity	Pair Corr

Related Correlations Analysis

	FEMDX	DLTZX	USMIX	ARTYX	LOTCX	LIGFX	SEDAX
FEMDX		0.69	0.34	0.7	0.56	0.65	0.27	FEMDX
DLTZX	0.69		-0.2	0.35	0.73	0.31	-0.06	DLTZX
USMIX	0.34	-0.2		0.62	-0.38	0.76	0.66	USMIX
ARTYX	0.7	0.35	0.62		0.2	0.75	0.46	ARTYX
LOTCX	0.56	0.73	-0.38	0.2		0.15	-0.27	LOTCX
LIGFX	0.65	0.31	0.76	0.75	0.15		0.51	LIGFX
SEDAX	0.27	-0.06	0.66	0.46	-0.27	0.51		SEDAX
	FEMDX	DLTZX	USMIX	ARTYX	LOTCX	LIGFX	SEDAX

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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

LIGFX	+ 0.76	USMIX
LIGFX	+ 0.75	ARTYX
LOTCX	+ 0.73	DLTZX
ARTYX	+ 0.7	FEMDX
DLTZX	+ 0.69	FEMDX
SEDAX	+ 0.66	USMIX

High negative correlations

LOTCX	- 0.38	USMIX
SEDAX	- 0.27	LOTCX
USMIX	- 0.2	DLTZX
SEDAX	- 0.06	DLTZX

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
FEMDX	0.17	0.00	(0.06)	0.12	0.14	(0.22)	0.35	(0.35)	1.29
DLTZX	0.08	0.00	(0.11)	(0.13)	0.00	(0.20)	0.26	(0.13)	0.64
USMIX	0.96	(0.14)	0.00	(0.15)	0.00	0.00	1.61	(1.48)	15.54
ARTYX	0.78	(0.04)	0.00	(0.25)	0.00	0.00	1.37	(1.63)	4.86
LOTCX	0.53	0.05	0.04	(3.96)	0.61	(0.59)	0.98	(0.98)	3.31
LIGFX	0.29	(0.01)	(0.06)	(0.04)	0.41	(0.28)	0.50	(0.50)	2.04
SEDAX	0.26	(0.04)	0.00	(0.50)	0.00	0.00	0.48	(0.59)	2.16

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