Vanguard Multi-sector Correlations

VMSAX Fund

USD 18.58 0.01 0.05%

The current 90-days correlation between Vanguard Multi Sector and Shenkman Short Duration is -0.01 (i.e., Good diversification). The correlation of Vanguard Multi-sector 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 Multi-sector Correlation With Market

Poor diversification

The correlation between Vanguard Multi Sector Income and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Multi Sector Income 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 Multi Sector Income. 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 nation.

Moving together with Vanguard Mutual Fund

0.7	PONAX	Pimco Income	Pair Corr
0.73	PONCX	Pimco Income	Pair Corr
0.69	PIPNX	Pimco Income	Pair Corr
0.69	PONRX	Pimco Income	Pair Corr
0.69	PONPX	Pimco Incme Fund	Pair Corr
0.69	PIINX	Pimco Income	Pair Corr
0.69	PIMIX	Pimco Income	Pair Corr
0.77	LBNDX	Lord Abbett Bond	Pair Corr
0.79	FSTAX	Fidelity Advisor Str	Pair Corr
0.83	FSRIX	Fidelity Advisor Str	Pair Corr
0.74	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.71	RYVLX	Nasdaq 100 2x	Pair Corr
0.76	UOPIX	Ultra Nasdaq 100	Pair Corr
0.79	RYCCX	Nasdaq 100 2x	Pair Corr
0.67	WMT	Walmart Common Stock	Pair Corr
0.83	BA	Boeing	Pair Corr

Moving against Vanguard Mutual Fund

0.53

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Pair Corr

Related Correlations Analysis

	TSDUX	TEPFX	SUSAX	BDMKX	CMGUX	FTFZX	SCFCX
TSDUX		0.93	0.94	0.88	0.94	0.91	0.97	TSDUX
TEPFX	0.93		0.85	0.93	0.88	0.97	0.91	TEPFX
SUSAX	0.94	0.85		0.82	0.96	0.9	0.92	SUSAX
BDMKX	0.88	0.93	0.82		0.82	0.91	0.92	BDMKX
CMGUX	0.94	0.88	0.96	0.82		0.91	0.91	CMGUX
FTFZX	0.91	0.97	0.9	0.91	0.91		0.89	FTFZX
SCFCX	0.97	0.91	0.92	0.92	0.91	0.89		SCFCX
	TSDUX	TEPFX	SUSAX	BDMKX	CMGUX	FTFZX	SCFCX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Multi-sector 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 Multi-sector'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TSDUX	0.03	0.01	0.00	2.12	0.00	0.10	0.00	0.10
TEPFX	0.04	0.01	0.00	0.96	0.00	0.10	(0.10)	0.21
SUSAX	0.04	0.01	0.00	(3.24)	0.00	0.10	(0.10)	0.51
BDMKX	0.05	0.00	(0.42)	0.05	(0.11)	0.11	(0.11)	0.22
CMGUX	0.04	0.01	0.00	(1.53)	0.00	0.11	0.00	0.44
FTFZX	0.04	0.01	0.00	5.05	0.00	0.10	(0.10)	0.39
SCFCX	0.06	0.01	(0.35)	1.15	(0.11)	0.10	(0.10)	0.41

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