Vanguard European Correlations

VESIX Fund

USD 34.80 0.20 0.58%

The current 90-days correlation between Vanguard European Stock and Vanguard Materials Index is 0.63 (i.e., Poor diversification). The correlation of Vanguard European 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 European Correlation With Market

Weak diversification

The correlation between Vanguard European Stock and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard European Stock 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 European Stock. 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 gross domestic product.

Moving together with Vanguard Mutual Fund

0.7	VMNIX	Vanguard Market Neutral	Pair Corr
0.7	VMNFX	Vanguard Market Neutral	Pair Corr
0.85	VPADX	Vanguard Pacific Stock	Pair Corr
0.79	VPACX	Vanguard Pacific Stock	Pair Corr
0.85	VPKIX	Vanguard Pacific Stock	Pair Corr
0.81	VAIPX	Vanguard Inflation-protec	Pair Corr

Moving against Vanguard Mutual Fund

0.69	NAESX	Vanguard Small Cap	Pair Corr
0.64	VQNPX	Vanguard Growth And	Pair Corr
0.61	VMVAX	Vanguard Mid Cap	Pair Corr
0.61	VMVIX	Vanguard Mid Cap	Pair Corr
0.54	VMVLX	Vanguard Mega Cap	Pair Corr
0.75	VSEMX	Vanguard Extended Market	Pair Corr
0.72	VSGAX	Vanguard Small Cap	Pair Corr
0.72	VSGIX	Vanguard Small Cap	Pair Corr
0.71	VSCPX	Vanguard Small Cap	Pair Corr
0.71	VSMAX	Vanguard Small Cap	Pair Corr
0.7	VSTCX	Vanguard Strategic	Pair Corr
0.69	VSCIX	Vanguard Small Cap	Pair Corr
0.67	VSIAX	Vanguard Small Cap	Pair Corr
0.67	VSMVX	Vanguard Sp Small	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VMMSX	VMNIX	VMNFX	VMSIX	VMVAX	VMVIX
VMIAX		0.16	0.16	0.76	0.75	-0.03	-0.03	0.33	0.77	0.77	VMIAX
VMLUX	0.16		1.0	0.15	0.33	0.1	0.1	0.77	0.12	0.12	VMLUX
VMLTX	0.16	1.0		0.15	0.33	0.1	0.1	0.77	0.12	0.12	VMLTX
VMNVX	0.76	0.15	0.15		0.39	-0.12	-0.12	0.24	0.76	0.76	VMNVX
VMMSX	0.75	0.33	0.33	0.39		0.28	0.28	0.24	0.36	0.36	VMMSX
VMNIX	-0.03	0.1	0.1	-0.12	0.28		1.0	-0.03	-0.43	-0.43	VMNIX
VMNFX	-0.03	0.1	0.1	-0.12	0.28	1.0		-0.04	-0.43	-0.43	VMNFX
VMSIX	0.33	0.77	0.77	0.24	0.24	-0.03	-0.04		0.36	0.36	VMSIX
VMVAX	0.77	0.12	0.12	0.76	0.36	-0.43	-0.43	0.36		1.0	VMVAX
VMVIX	0.77	0.12	0.12	0.76	0.36	-0.43	-0.43	0.36	1.0		VMVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VMMSX	VMNIX	VMNFX	VMSIX	VMVAX	VMVIX

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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

VMLTX	+ 1.0	VMLUX
VMNFX	+ 1.0	VMNIX
VMVIX	+ 1.0	VMVAX
VMVAX	+ 0.77	VMIAX
VMVIX	+ 0.77	VMIAX
VMSIX	+ 0.77	VMLUX

High negative correlations

VMVIX	- 0.43	VMNFX
VMVAX	- 0.43	VMNFX
VMVIX	- 0.43	VMNIX
VMVAX	- 0.43	VMNIX
VMNFX	- 0.12	VMNVX
VMNIX	- 0.12	VMNVX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard European 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 European'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
VMIAX	0.70	(0.04)	(0.06)	0.07	0.77	(0.78)	1.31	(1.19)	3.79
VMLUX	0.07	0.00	(0.59)	0.04	0.00	(0.14)	0.18	(0.18)	0.74
VMLTX	0.07	0.00	(0.59)	0.04	0.00	(0.14)	0.18	(0.18)	0.74
VMNVX	0.39	(0.03)	(0.19)	0.05	0.41	(0.42)	0.73	(0.73)	1.81
VMMSX	0.84	(0.06)	(0.11)	(0.02)	1.10	(0.90)	1.78	(1.97)	6.50
VMNIX	0.27	(0.07)	0.00	(0.45)	0.00	0.00	0.63	(0.62)	2.27
VMNFX	0.27	(0.07)	0.00	(0.41)	0.00	0.00	0.63	(0.62)	2.26
VMSIX	0.13	0.01	(0.52)	1.30	0.00	(0.22)	0.33	(0.33)	0.99
VMVAX	0.54	0.03	0.00	0.15	0.33	(0.62)	1.08	(0.88)	3.06
VMVIX	0.54	0.03	0.00	0.15	0.34	(0.62)	1.08	(0.89)	3.07

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