Vanguard Mortgage-backed Correlations

VMBSX Fund

USD 18.45 0.05 0.27%

The current 90-days correlation between Vanguard Mortgage-backed and Vanguard Intermediate Term Government is 0.94 (i.e., Almost no diversification). The correlation of Vanguard Mortgage-backed 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 Mortgage-backed Correlation With Market

Good diversification

The correlation between Vanguard Mortgage Backed Secur and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mortgage Backed Secur 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 Mortgage Backed Securities. 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 state.

Moving together with Vanguard Mutual Fund

0.66	VNJUX	Vanguard New Jersey	Pair Corr
0.66	VNJTX	Vanguard New Jersey	Pair Corr
0.68	VNYTX	Vanguard New York	Pair Corr
0.68	VNYUX	Vanguard New York	Pair Corr
0.65	VOHIX	Vanguard Ohio Long	Pair Corr
0.67	VPADX	Vanguard Pacific Stock	Pair Corr
0.67	VPACX	Vanguard Pacific Stock	Pair Corr
0.64	VPALX	Vanguard Pennsylvania	Pair Corr
0.64	VPAIX	Vanguard Pennsylvania	Pair Corr
0.67	VPKIX	Vanguard Pacific Stock	Pair Corr
0.95	VAIPX	Vanguard Inflation-protec	Pair Corr
0.83	VSCSX	Vanguard Short Term	Pair Corr
0.85	VSBIX	Vanguard Short Term	Pair Corr
0.83	VSBSX	Vanguard Short Term	Pair Corr

Moving against Vanguard Mutual Fund

0.72	VQNPX	Vanguard Growth And	Pair Corr
0.63	NAESX	Vanguard Small Cap	Pair Corr
0.58	VMVAX	Vanguard Mid Cap	Pair Corr
0.58	VMVIX	Vanguard Mid Cap	Pair Corr
0.58	VMVLX	Vanguard Mega Cap	Pair Corr
0.55	VPCCX	Vanguard Primecap	Pair Corr
0.51	VAIGX	Vanguard Advice Select	Pair Corr
0.44	VPMCX	Vanguard Primecap	Pair Corr
0.44	VPMAX	Vanguard Primecap	Pair Corr
0.39	VAGVX	Vanguard Advice Select	Pair Corr
0.36	VMIAX	Vanguard Materials Index	Pair Corr
0.72	VSPGX	Vanguard Sp 500	Pair Corr
0.69	VSMPX	Vanguard Total Stock	Pair Corr
0.69	VSTSX	Vanguard Total Stock	Pair Corr
0.67	VSEMX	Vanguard Extended Market	Pair Corr
0.64	VSGAX	Vanguard Small Cap	Pair Corr
0.64	VSGIX	Vanguard Small Cap	Pair Corr
0.63	VSCIX	Vanguard Small Cap	Pair Corr
0.63	VSCPX	Vanguard Small Cap	Pair Corr

Related Correlations Analysis

	VSIGX	VLGSX	VSBSX	VICSX	VLTCX
VSIGX		0.98	0.83	0.97	0.97	VSIGX
VLGSX	0.98		0.76	0.94	0.96	VLGSX
VSBSX	0.83	0.76		0.89	0.84	VSBSX
VICSX	0.97	0.94	0.89		0.99	VICSX
VLTCX	0.97	0.96	0.84	0.99		VLTCX
	VSIGX	VLGSX	VSBSX	VICSX	VLTCX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Mortgage-backed 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 Mortgage-backed'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
VSIGX	0.20	(0.02)	0.00	0.38	0.00	0.00	0.45	(0.35)	1.24
VLGSX	0.59	(0.04)	0.00	0.27	0.00	0.00	1.35	(1.35)	3.79
VSBSX	0.07	0.00	(1.10)	0.21	0.06	(0.10)	0.15	(0.10)	0.62
VICSX	0.22	(0.01)	0.00	0.63	0.00	0.00	0.46	(0.55)	1.33
VLTCX	0.46	(0.02)	0.00	0.54	0.00	0.00	0.99	(1.03)	2.56

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