Asset Allocation Correlations

VCAAX Fund

USD 12.81 0.07 0.54%

The current 90-days correlation between Asset Allocation and Blue Chip Growth is 0.9 (i.e., Almost no diversification). The correlation of Asset Allocation 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.

Asset Allocation Correlation With Market

Poor diversification

The correlation between Asset Allocation Fund and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Asset Allocation Fund 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 Asset Allocation Fund. 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 ASSET Mutual Fund

0.84	VMSGX	Mid Cap Strategic	Pair Corr
0.89	VSRDX	Valic Company I	Pair Corr
0.92	VSTIX	Stock Index Fund	Pair Corr
0.64	VCBCX	Blue Chip Growth	Pair Corr
0.94	VCGAX	Growth Income	Pair Corr
0.79	VCINX	International Growth	Pair Corr
0.9	VCNIX	Nasdaq 100 Index	Pair Corr
0.79	VCSTX	Science Technology	Pair Corr
0.64	VCSLX	Small Cap Index	Pair Corr
0.79	VCULX	Growth Fund Growth	Pair Corr
0.94	VDAFX	Dynamic Allocation	Pair Corr
0.8	VVSGX	Valic Company I	Pair Corr
0.72	VGCLX	Valic Company I	Pair Corr
0.75	VLAGX	Valic Company I	Pair Corr
0.98	VLCGX	Large Capital Growth	Pair Corr
0.74	VLSMX	Valic Company I	Pair Corr
0.65	ABALX	American Balanced	Pair Corr
0.66	BALFX	American Balanced	Pair Corr

Related Correlations Analysis

	VMIDX	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCBDX	VCBCX
VMIDX		0.7	-0.25	0.77	0.81	0.98	0.98	0.77	-0.21	VMIDX
VMSGX	0.7		0.45	0.93	0.88	0.61	0.66	0.35	0.47	VMSGX
VAPPX	-0.25	0.45		0.38	0.32	-0.32	-0.23	-0.4	0.99	VAPPX
VSRDX	0.77	0.93	0.38		0.96	0.7	0.77	0.46	0.4	VSRDX
VSTIX	0.81	0.88	0.32	0.96		0.76	0.83	0.53	0.36	VSTIX
VSSVX	0.98	0.61	-0.32	0.7	0.76		0.97	0.77	-0.29	VSSVX
VBCVX	0.98	0.66	-0.23	0.77	0.83	0.97		0.73	-0.2	VBCVX
VCBDX	0.77	0.35	-0.4	0.46	0.53	0.77	0.73		-0.35	VCBDX
VCBCX	-0.21	0.47	0.99	0.4	0.36	-0.29	-0.2	-0.35		VCBCX
	VMIDX	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCBDX	VCBCX

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

VCBCX	+ 0.99	VAPPX
VSSVX	+ 0.98	VMIDX
VBCVX	+ 0.98	VMIDX
VBCVX	+ 0.97	VSSVX
VSTIX	+ 0.96	VSRDX
VSRDX	+ 0.93	VMSGX

High negative correlations

VCBDX	- 0.4	VAPPX
VCBCX	- 0.35	VCBDX
VSSVX	- 0.32	VAPPX
VCBCX	- 0.29	VSSVX
VAPPX	- 0.25	VMIDX
VBCVX	- 0.23	VAPPX

Risk-Adjusted Indicators

There is a big difference between ASSET Mutual Fund performing well and Asset Allocation 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 Asset Allocation'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
VMIDX	0.72	0.07	0.08	0.13	0.67	(0.79)	1.83	(1.39)	4.47
VMSGX	0.85	(0.08)	0.00	(0.01)	0.00	0.00	1.56	(2.00)	5.44
VAPPX	0.73	(0.17)	0.00	(0.16)	0.00	0.00	1.29	(2.03)	4.84
VSRDX	0.65	(0.05)	(0.06)	0.00	0.91	(0.64)	1.16	(1.69)	4.24
VSTIX	0.54	(0.05)	(0.07)	0.00	0.80	(0.54)	0.99	(1.53)	3.60
VSSVX	0.80	0.13	0.17	0.19	0.53	(1.05)	2.44	(1.08)	4.87
VBCVX	0.55	0.05	0.05	0.12	0.54	(0.58)	1.41	(1.07)	3.29
VCBDX	0.15	0.02	(0.19)	0.39	0.00	(0.21)	0.30	(0.29)	0.69
VCBCX	0.74	(0.16)	0.00	(0.15)	0.00	0.00	1.29	(1.86)	4.84

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