Vanguard Correlations

VFMFX Fund

USD 50.29 0.15 0.30%

The current 90-days correlation between Vanguard Multifactor and Shelton Emerging Markets is 0.02 (i.e., Significant diversification). The correlation of Vanguard 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 Correlation With Market

Almost no diversification

The correlation between Vanguard Multifactor and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Multifactor 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 Multifactor. 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

0.97	VMIAX	Vanguard Materials Index	Pair Corr
0.94	VMLUX	Vanguard Limited Term	Pair Corr
0.93	VMLTX	Vanguard Limited Term	Pair Corr
0.94	VMNVX	Vanguard Global Minimum	Pair Corr
0.94	VMMSX	Vanguard Emerging Markets	Pair Corr
0.97	VMSIX	Vanguard Multi Sector	Pair Corr
0.97	VMVAX	Vanguard Mid Cap	Pair Corr
0.97	VMVIX	Vanguard Mid Cap	Pair Corr
0.94	VMVFX	Vanguard Global Minimum	Pair Corr
0.98	VMVLX	Vanguard Mega Cap	Pair Corr
0.87	VNJUX	Vanguard New Jersey	Pair Corr
0.87	VNJTX	Vanguard New Jersey	Pair Corr
0.86	VNYTX	Vanguard New York	Pair Corr
0.86	VNYUX	Vanguard New York	Pair Corr
0.86	VOHIX	Vanguard Ohio Long	Pair Corr
0.93	VPADX	Vanguard Pacific Stock	Pair Corr
0.93	VPACX	Vanguard Pacific Stock	Pair Corr
0.91	VPCCX	Vanguard Primecap	Pair Corr
0.88	VPALX	Vanguard Pennsylvania	Pair Corr
0.87	VPAIX	Vanguard Pennsylvania	Pair Corr
0.93	VPKIX	Vanguard Pacific Stock	Pair Corr
0.94	VPMCX	Vanguard Primecap	Pair Corr
0.88	VPMAX	Vanguard Primecap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.76	VRTPX	Vanguard Reit Ii	Pair Corr
0.93	VAGVX	Vanguard Advice Select	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCGX	Vanguard Lifestrategy	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.93	VSCSX	Vanguard Short Term	Pair Corr
0.91	VSBIX	Vanguard Short Term	Pair Corr
0.92	VSBSX	Vanguard Short Term	Pair Corr
0.96	VSEQX	Vanguard Strategic Equity	Pair Corr
0.97	VASGX	Vanguard Lifestrategy	Pair Corr

Related Correlations Analysis

	DODEX	TEOJX	VASGX	REMVX	ABPYX	EMSLX
DODEX		0.99	0.95	1.0	-0.35	0.91	DODEX
TEOJX	0.99		0.94	0.99	-0.37	0.92	TEOJX
VASGX	0.95	0.94		0.95	-0.12	0.95	VASGX
REMVX	1.0	0.99	0.95		-0.39	0.91	REMVX
ABPYX	-0.35	-0.37	-0.12	-0.39		-0.17	ABPYX
EMSLX	0.91	0.92	0.95	0.91	-0.17		EMSLX
	DODEX	TEOJX	VASGX	REMVX	ABPYX	EMSLX

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

REMVX	+ 1.0	DODEX
TEOJX	+ 0.99	DODEX
REMVX	+ 0.99	TEOJX
VASGX	+ 0.95	DODEX
REMVX	+ 0.95	VASGX
EMSLX	+ 0.95	VASGX

High negative correlations

ABPYX	- 0.39	REMVX
ABPYX	- 0.37	TEOJX
ABPYX	- 0.35	DODEX
EMSLX	- 0.17	ABPYX
ABPYX	- 0.12	VASGX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard 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'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
DODEX	0.55	0.23	0.28	0.57	0.00	(0.67)	1.53	(1.00)	3.26
TEOJX	0.66	0.32	0.20	(1.59)	0.40	(0.80)	1.62	(1.27)	4.27
VASGX	0.43	0.07	0.03	0.23	0.27	(0.51)	0.91	(0.78)	2.75
REMVX	0.63	0.28	0.38	0.63	0.00	(0.87)	1.70	(0.76)	3.28
ABPYX	0.38	(0.04)	(0.18)	0.03	0.50	(0.38)	0.70	(0.78)	2.36
EMSLX	0.94	0.51	0.42	1.31	0.00	(1.09)	2.05	(1.29)	19.48

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