Vanguard Small-cap Correlations
| VSIIX Fund | USD 49.14 0.22 0.45% |
The current 90-days correlation between Vanguard Small Cap and Georgia Tax Free Bond is -0.04 (i.e., Good diversification). The correlation of Vanguard Small-cap 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 Small-cap Correlation With Market
Modest diversification
The correlation between Vanguard Small Cap Value and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value and DJI in the same portfolio, assuming nothing else is changed.
Vanguard |
Moving together with Vanguard Mutual Fund
| 0.7 | VMNVX | Vanguard Global Minimum | PairCorr |
| 0.9 | VMVAX | Vanguard Mid Cap | PairCorr |
| 0.9 | VMVIX | Vanguard Mid Cap | PairCorr |
| 0.78 | VMVFX | Vanguard Global Minimum | PairCorr |
| 0.87 | VMVLX | Vanguard Mega Cap | PairCorr |
| 0.66 | VNJUX | Vanguard New Jersey | PairCorr |
| 0.68 | VNJTX | Vanguard New Jersey | PairCorr |
| 0.69 | VNYTX | Vanguard New York | PairCorr |
| 0.69 | VNYUX | Vanguard New York | PairCorr |
| 0.67 | VOHIX | Vanguard Ohio Long | PairCorr |
| 0.63 | VPADX | Vanguard Pacific Stock | PairCorr |
| 0.74 | VPCCX | Vanguard Primecap | PairCorr |
| 0.69 | VPALX | Vanguard Pennsylvania | PairCorr |
| 0.68 | VPAIX | Vanguard Pennsylvania | PairCorr |
| 0.71 | VPMCX | Vanguard Primecap | PairCorr |
| 0.72 | VPMAX | Vanguard Primecap | PairCorr |
| 0.95 | NAESX | Vanguard Small Cap | PairCorr |
| 0.72 | VQNPX | Vanguard Growth And | PairCorr |
| 0.72 | VADGX | Vanguard Advice Select | PairCorr |
| 0.72 | VAGVX | Vanguard Advice Select | PairCorr |
| 0.95 | VSCIX | Vanguard Small Cap | PairCorr |
| 0.95 | VSCPX | Vanguard Small Cap | PairCorr |
| 0.85 | VSEMX | Vanguard Extended Market | PairCorr |
| 0.87 | VSEQX | Vanguard Strategic Equity | PairCorr |
Related Correlations Analysis
| 0.53 | 0.71 | 0.98 | 0.68 | 0.97 | 0.68 | TBGAX | ||
| 0.53 | 0.49 | 0.62 | 0.61 | 0.64 | 0.8 | MSTBX | ||
| 0.71 | 0.49 | 0.78 | 0.9 | 0.78 | 0.8 | RIBAX | ||
| 0.98 | 0.62 | 0.78 | 0.77 | 0.99 | 0.77 | TIMTX | ||
| 0.68 | 0.61 | 0.9 | 0.77 | 0.75 | 0.93 | UIITX | ||
| 0.97 | 0.64 | 0.78 | 0.99 | 0.75 | 0.77 | MDMTX | ||
| 0.68 | 0.8 | 0.8 | 0.77 | 0.93 | 0.77 | TTRBX | ||
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Risk-Adjusted Indicators
There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small-cap 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 Small-cap'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TBGAX | 0.23 | (0.02) | 0.00 | (0.28) | 0.00 | 0.46 | 1.75 | |||
| MSTBX | 0.10 | (0.01) | (0.15) | (0.50) | 0.09 | 0.21 | 0.62 | |||
| RIBAX | 0.24 | (0.03) | 0.00 | (0.38) | 0.00 | 0.58 | 1.65 | |||
| TIMTX | 0.20 | (0.02) | 0.00 | (0.38) | 0.00 | 0.38 | 1.50 | |||
| UIITX | 0.24 | (0.03) | 0.00 | (1.90) | 0.00 | 0.55 | 1.54 | |||
| MDMTX | 0.21 | (0.02) | 0.00 | (0.22) | 0.00 | 0.48 | 1.72 | |||
| TTRBX | 0.16 | (0.02) | 0.00 | (1.62) | 0.00 | 0.41 | 1.01 |