Vanguard Value Correlations

VIVIX Fund

USD 70.26 0.54 0.77%

The current 90-days correlation between Vanguard Value Index and Vanguard Explorer Fund is 0.87 (i.e., Very poor diversification). The correlation of Vanguard Value 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 Value Correlation With Market

Almost no diversification

The correlation between Vanguard Value Index and DJI is 0.93 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index 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 Value Index. 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

0.81	VMIAX	Vanguard Materials Index	Pair Corr
0.83	VMNVX	Vanguard Global Minimum	Pair Corr
0.98	VMVAX	Vanguard Mid Cap	Pair Corr
0.98	VMVIX	Vanguard Mid Cap	Pair Corr
0.83	VMVFX	Vanguard Global Minimum	Pair Corr
1.0	VMVLX	Vanguard Mega Cap	Pair Corr
0.82	VPCCX	Vanguard Primecap	Pair Corr
0.75	VPMCX	Vanguard Primecap	Pair Corr
0.75	VPMAX	Vanguard Primecap	Pair Corr
0.92	NAESX	Vanguard Small Cap	Pair Corr
0.94	VQNPX	Vanguard Growth And	Pair Corr
0.85	VAGVX	Vanguard Advice Select	Pair Corr
0.72	VAIGX	Vanguard Advice Select	Pair Corr
0.92	VSCIX	Vanguard Small Cap	Pair Corr
0.92	VSCPX	Vanguard Small Cap	Pair Corr
0.9	VSEMX	Vanguard Extended Market	Pair Corr
0.95	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.66	VSIGX	Vanguard Intermediate-ter	Pair Corr
0.44	VAIPX	Vanguard Inflation-protec	Pair Corr
0.35	VSGDX	Vanguard Short Term	Pair Corr
0.35	VSGBX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	VEXRX	VWILX	VPMAX	VWENX	VWUAX
VEXRX		0.39	0.74	0.95	0.93	VEXRX
VWILX	0.39		0.73	0.54	0.49	VWILX
VPMAX	0.74	0.73		0.8	0.72	VPMAX
VWENX	0.95	0.54	0.8		0.97	VWENX
VWUAX	0.93	0.49	0.72	0.97		VWUAX
	VEXRX	VWILX	VPMAX	VWENX	VWUAX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Value 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 Value'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
VEXRX	0.76	(0.02)	0.01	0.11	0.84	(0.81)	1.62	(1.54)	5.78
VWILX	0.73	(0.08)	(0.10)	0.00	1.14	(0.64)	1.59	(1.69)	5.57
VPMAX	0.66	(0.10)	(0.11)	0.01	0.97	(0.59)	1.21	(1.70)	3.79
VWENX	0.38	(0.02)	(0.13)	0.08	0.48	(0.39)	0.80	(0.83)	2.49
VWUAX	0.79	0.02	0.01	0.14	1.11	(0.76)	1.63	(2.32)	5.39

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