Vanguard International Correlations

VWICX Fund

USD 13.42 0.10 0.75%

The current 90-days correlation between Vanguard International and Vanguard Total Bond is -0.11 (i.e., Good diversification). The correlation of Vanguard International 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 International Correlation With Market

Very weak diversification

The correlation between Vanguard International Core and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard International Core 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 International Core. 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 main economic indicators.

Moving together with Vanguard Mutual Fund

0.83	VMMSX	Vanguard Emerging Markets	Pair Corr
0.61	VMNIX	Vanguard Market Neutral	Pair Corr
0.61	VMNFX	Vanguard Market Neutral	Pair Corr
0.84	VPADX	Vanguard Pacific Stock	Pair Corr
0.84	VPACX	Vanguard Pacific Stock	Pair Corr
0.84	VPKIX	Vanguard Pacific Stock	Pair Corr
0.64	VSCGX	Vanguard Lifestrategy	Pair Corr

Related Correlations Analysis

	VBTLX	VTSAX	VTABX	VSMAX	VGSLX
VBTLX		-0.72	0.29	-0.7	0.41	VBTLX
VTSAX	-0.72		0.24	0.95	0.09	VTSAX
VTABX	0.29	0.24		0.27	0.8	VTABX
VSMAX	-0.7	0.95	0.27		0.08	VSMAX
VGSLX	0.41	0.09	0.8	0.08		VGSLX
	VBTLX	VTSAX	VTABX	VSMAX	VGSLX

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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

VSMAX	+ 0.95	VTSAX
VGSLX	+ 0.8	VTABX
VGSLX	+ 0.41	VBTLX
VTABX	+ 0.29	VBTLX
VSMAX	+ 0.27	VTABX
VTABX	+ 0.24	VTSAX

High negative correlations

VTSAX	- 0.72	VBTLX
VSMAX	- 0.7	VBTLX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard International 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 International'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
VBTLX	0.22	(0.03)	0.00	(0.38)	0.00	0.00	0.51	(0.62)	1.36
VTSAX	0.57	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.31)	4.11
VTABX	0.15	0.02	(0.52)	1.29	0.07	(0.18)	0.35	(0.35)	0.90
VSMAX	0.75	0.15	0.05	1.23	0.68	(0.84)	1.62	(1.25)	5.36
VGSLX	0.68	0.05	(0.07)	0.53	0.81	(0.68)	1.33	(1.35)	3.59

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