Vanguard Market Correlations

VMNIX Fund

USD 13.41 0.05 0.37%

The current 90-days correlation between Vanguard Market Neutral and Ab Global Bond is -0.06 (i.e., Good diversification). The correlation of Vanguard Market 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 Market Correlation With Market

Good diversification

The correlation between Vanguard Market Neutral and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Market Neutral 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 Market Neutral. 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

0.61	VMIAX	Vanguard Materials Index	Pair Corr
0.7	VMMSX	Vanguard Emerging Markets	Pair Corr
1.0	VMNFX	Vanguard Market Neutral	Pair Corr
0.61	VPKIX	Vanguard Pacific Stock	Pair Corr

Moving against Vanguard Mutual Fund

0.39	VSBIX	Vanguard Short Term	Pair Corr
0.35	VSGAX	Vanguard Small Cap	Pair Corr
0.35	VSGIX	Vanguard Small Cap	Pair Corr

Related Correlations Analysis

	ANAZX	EQTYX	QGMIX	RGELX	GAFAX	SMYIX
ANAZX		0.57	-0.13	0.73	0.46	0.7	ANAZX
EQTYX	0.57		-0.48	0.82	0.4	0.85	EQTYX
QGMIX	-0.13	-0.48		-0.16	0.38	-0.15	QGMIX
RGELX	0.73	0.82	-0.16		0.57	0.94	RGELX
GAFAX	0.46	0.4	0.38	0.57		0.7	GAFAX
SMYIX	0.7	0.85	-0.15	0.94	0.7		SMYIX
	ANAZX	EQTYX	QGMIX	RGELX	GAFAX	SMYIX

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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

SMYIX	+ 0.94	RGELX
SMYIX	+ 0.85	EQTYX
RGELX	+ 0.82	EQTYX
RGELX	+ 0.73	ANAZX
SMYIX	+ 0.7	ANAZX
SMYIX	+ 0.7	GAFAX

High negative correlations

QGMIX	- 0.48	EQTYX
RGELX	- 0.16	QGMIX
SMYIX	- 0.15	QGMIX
QGMIX	- 0.13	ANAZX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Market 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 Market'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
ANAZX	0.19	(0.03)	0.00	(0.99)	0.00	0.00	0.29	(0.44)	1.31
EQTYX	0.46	(0.06)	0.00	(0.87)	0.00	0.00	1.11	(1.10)	4.15
QGMIX	0.41	0.05	0.11	(1.11)	0.34	(0.51)	0.95	(0.64)	2.29
RGELX	0.58	(0.01)	0.00	0.97	0.00	0.00	1.32	(1.69)	4.33
GAFAX	0.28	0.01	0.03	0.05	0.32	(0.31)	0.66	(0.48)	1.90
SMYIX	0.64	0.00	0.00	(0.09)	1.10	(0.57)	1.48	(1.31)	4.86

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