Stock Index Correlations

VSTIX Fund

USD 60.70 0.60 1.00%

The current 90-days correlation between Stock Index Fund and Mid Cap Index is 0.82 (i.e., Very poor diversification). The correlation of Stock Index 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.

Stock Index Correlation With Market

Weak diversification

The correlation between Stock Index Fund and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stock Index Fund 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 Stock Index Fund. 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 Stock Mutual Fund

0.76	VMIDX	Mid Cap Index	Pair Corr
0.89	VMSGX	Mid Cap Strategic	Pair Corr
0.88	VAPPX	Valic Company I	Pair Corr
0.75	VSRDX	Valic Company I	Pair Corr
0.66	VSSVX	Small Cap Special	Pair Corr
0.83	VCAAX	Asset Allocation	Pair Corr
0.85	VCBCX	Blue Chip Growth	Pair Corr
0.99	VCGAX	Growth Income	Pair Corr
0.87	VCNIX	Nasdaq 100 Index	Pair Corr
0.87	VCSTX	Science Technology	Pair Corr
0.76	VCSLX	Small Cap Index	Pair Corr
0.85	VCULX	Growth Fund Growth	Pair Corr
0.71	VDAFX	Dynamic Allocation	Pair Corr
0.61	VVMCX	Valic Company I	Pair Corr
0.86	VVSGX	Valic Company I	Pair Corr
0.67	VVSCX	Valic Company I	Pair Corr
0.66	VGCLX	Valic Company I	Pair Corr
0.77	VGLSX	Global Strategy	Pair Corr
0.87	VLAGX	Valic Company I	Pair Corr
0.83	VLCGX	Large Capital Growth	Pair Corr
0.8	VLSMX	Valic Company I	Pair Corr
0.9	VTSAX	Vanguard Total Stock	Pair Corr
0.88	VFIAX	Vanguard 500 Index	Pair Corr
0.9	VTSMX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.9	VSMPX	Vanguard Total Stock	Pair Corr

Moving against Stock Mutual Fund

0.31	VCGEX	Emerging Economies	Pair Corr
0.6	GAAKX	Gmo Alternative Allo	Pair Corr
0.6	GAAGX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	VMIDX	VMSGX	VAPPX	VSRDX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX
VMIDX		0.92	0.42	0.92	0.95	0.91	0.9	0.53	0.35	VMIDX
VMSGX	0.92		0.67	0.84	0.83	0.74	0.85	0.37	0.61	VMSGX
VAPPX	0.42	0.67		0.36	0.28	0.07	0.48	-0.1	0.99	VAPPX
VSRDX	0.92	0.84	0.36		0.91	0.91	0.97	0.66	0.3	VSRDX
VSSVX	0.95	0.83	0.28	0.91		0.94	0.88	0.55	0.22	VSSVX
VBCVX	0.91	0.74	0.07	0.91	0.94		0.83	0.61	-0.01	VBCVX
VCAAX	0.9	0.85	0.48	0.97	0.88	0.83		0.68	0.43	VCAAX
VCBDX	0.53	0.37	-0.1	0.66	0.55	0.61	0.68		-0.12	VCBDX
VCBCX	0.35	0.61	0.99	0.3	0.22	-0.01	0.43	-0.12		VCBCX
	VMIDX	VMSGX	VAPPX	VSRDX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX

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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

VCBCX	+ 0.99	VAPPX
VCAAX	+ 0.97	VSRDX
VSSVX	+ 0.95	VMIDX
VBCVX	+ 0.94	VSSVX
VMSGX	+ 0.92	VMIDX
VSRDX	+ 0.92	VMIDX

High negative correlations

VCBCX	- 0.12	VCBDX
VCBDX	- 0.1	VAPPX
VCBCX	- 0.01	VBCVX

Risk-Adjusted Indicators

There is a big difference between Stock Mutual Fund performing well and Stock Index 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 Stock Index'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
VMIDX	0.70	0.02	0.01	0.07	0.96	(0.72)	1.44	(1.19)	8.00
VMSGX	0.81	0.04	0.02	0.09	1.13	(0.78)	1.70	(1.40)	7.16
VAPPX	0.82	0.08	0.05	0.25	1.13	(0.81)	1.50	(1.70)	5.93
VSRDX	0.59	(0.01)	(0.03)	(0.02)	0.89	(0.57)	1.15	(1.39)	5.12
VSSVX	0.82	0.00	(0.01)	0.01	1.02	(0.86)	1.55	(1.21)	9.72
VBCVX	0.54	(0.01)	(0.04)	(0.02)	0.68	(0.62)	1.18	(0.91)	5.58
VCAAX	0.41	(0.01)	(0.04)	(0.03)	0.61	(0.44)	0.74	(0.89)	3.81
VCBDX	0.25	(0.04)	0.00	(0.37)	0.00	0.00	0.41	(0.61)	1.53
VCBCX	0.80	0.08	0.05	0.26	1.10	(0.80)	1.67	(1.85)	5.85

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