Vanguard Global Correlations

VEIGX Fund

USD 38.31 0.05 0.13%

The current 90-days correlation between Vanguard Global Esg and Vanguard Ftse Social is 0.75 (i.e., Poor diversification). The correlation of Vanguard Global 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 Global Correlation With Market

Poor diversification

The correlation between Vanguard Global Esg and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Global Esg 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 Global Esg. 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 price.

Moving together with Vanguard Mutual Fund

0.76	VMIAX	Vanguard Materials Index	Pair Corr
0.61	VMMSX	Vanguard Emerging Markets	Pair Corr
0.67	VPADX	Vanguard Pacific Stock	Pair Corr
0.67	VPACX	Vanguard Pacific Stock	Pair Corr
0.67	VPKIX	Vanguard Pacific Stock	Pair Corr
0.63	VPMCX	Vanguard Primecap	Pair Corr
0.63	VPMAX	Vanguard Primecap	Pair Corr
0.71	VADGX	Vanguard Advice Select	Pair Corr
0.71	VAGVX	Vanguard Advice Select	Pair Corr
0.84	VSCGX	Vanguard Lifestrategy	Pair Corr

Related Correlations Analysis

	VFTAX	VTIAX	VHYAX	VIGAX	VVIAX
VFTAX		-0.25	0.96	1.0	0.91	VFTAX
VTIAX	-0.25		-0.2	-0.28	-0.18	VTIAX
VHYAX	0.96	-0.2		0.94	0.95	VHYAX
VIGAX	1.0	-0.28	0.94		0.89	VIGAX
VVIAX	0.91	-0.18	0.95	0.89		VVIAX
	VFTAX	VTIAX	VHYAX	VIGAX	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

VIGAX	+ 1.0	VFTAX
VHYAX	+ 0.96	VFTAX
VVIAX	+ 0.95	VHYAX
VIGAX	+ 0.94	VHYAX
VVIAX	+ 0.91	VFTAX
VVIAX	+ 0.89	VIGAX

High negative correlations

VIGAX	- 0.28	VTIAX
VTIAX	- 0.25	VFTAX
VHYAX	- 0.2	VTIAX
VVIAX	- 0.18	VTIAX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Global 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 Global'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
VFTAX	0.59	0.03	0.01	0.13	0.75	(0.63)	1.29	(1.57)	4.14
VTIAX	0.62	(0.08)	0.00	(0.07)	0.00	0.00	1.15	(1.59)	4.11
VHYAX	0.51	(0.02)	(0.05)	0.09	0.42	(0.59)	1.06	(0.79)	3.69
VIGAX	0.70	0.06	0.03	0.17	0.92	(0.65)	1.64	(2.01)	5.18
VVIAX	0.51	0.08	(0.04)	3.25	0.40	(0.62)	1.05	(0.83)	3.45

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