Vanguard Small Cap Growth Fund Volatility

VSGAX Fund

USD 120.69 0.71 0.59%

For VANGUARD SMALL-CAP, daily and longer-window fund price variability maps into the risk metrics that matter for sizing positions. The fund shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0828

Expected Return ↓

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VSGAX

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Vanguard Small Cap Growth reported a Market Risk Adjusted Performance of 0.1%, a Risk of 1.45, and a Risk Adjusted Performance of 0.1%. Based on monthly moving averages, the fund is operating near 6% of its historical performance range.

Key indicators related to VANGUARD SMALL-CAP's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Below Average

90 Days Economic Sensitivity

Responds to the market

Key risk metrics for VANGUARD SMALL-CAP (3 Months):

Beta

1.36

Alpha

0.16

Risk

1.45

Sharpe Ratio

0.08

Expected Return

0.12

Assets With Similar Volatility

1.0	VSGIX	Vanguard Small Cap Growth	Pair Corr
1.0	VISGX	Vanguard Small Cap Growth	Pair Corr
0.93	VEXPX	Vanguard Explorer Fund	Pair Corr
0.99	VEXRX	Vanguard Explorer Fund	Pair Corr
0.92	JGMIX	Janus Triton Fund	Pair Corr
0.92	JGMRX	Janus Triton Fund	Pair Corr
0.92	JGMAX	Janus Triton Fund	Pair Corr
0.98	JGMCX	Janus Triton Fund	Pair Corr
0.98	JGMNX	Janus Triton Fund	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.97	VTSAX	Vanguard Total Stock	Pair Corr
0.97	VTSMX	Vanguard Total Stock	Pair Corr
0.97	VSTSX	Vanguard Total Stock	Pair Corr
0.97	VITSX	Vanguard Total Stock	Pair Corr
0.97	VSMPX	Vanguard Total Stock	Pair Corr
0.85	VTIAX	Vanguard Total International	Pair Corr
0.96	VFINX	Vanguard 500 Index	Pair Corr
0.96	VFFSX	Vanguard 500 Index	Pair Corr
0.81	INTC	Intel Buyout Trend	Pair Corr
0.66	BAC	Bank of America	Pair Corr
0.64	WMT	Walmart	Pair Corr

Sensitivity To Market

VANGUARD SMALL-CAP beta coefficient measures the volatility of VANGUARD mutual fund relative to the systematic risk of the broad market benchmark. A beta of 1.36 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.45%. Vanguard Small Cap Growth has shown noticeable price swings over the selected period. Downside deviation is about 1.54% and standard deviation is about 1.54%, which summarize how widely returns have moved. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.

Current 90-day VANGUARD SMALL-CAP correlation with market (Dow Jones Industrial)

0.16

1.36

Competition

3 Months Beta |Vanguard Small Cap Demand Trend

Current 90-day VANGUARD SMALL-CAP correlation with market (Dow Jones Industrial)

Downside Risk

Standard deviation measures how far VANGUARD returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.

Standard Deviation

1.45

It is essential to understand the difference between upside risk and downside risk for VANGUARD SMALL-CAP. Total volatility includes favorable moves, while downside deviation isolates the loss risk in VANGUARD SMALL-CAP's daily returns. Vanguard Small Cap Growth reported a Downside Deviation of 1.54, a Downside Variance of 2.38, and a Maximum Drawdown of 7.12.

Mutual Fund Volatility Analysis

Volatility refers to the frequency at which VANGUARD SMALL-CAP fund price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same mutual fund.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Vanguard Small Cap's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.

Projected Return Density Against Market

Based on a 90-day horizon, VANGUARD SMALL-CAP has a beta of 1.3631. This entails when the benchmark rises, VSGAX tends to outperform it on average. However, when benchmark returns turn negative, VANGUARD SMALL-CAP tends to underperform.

VANGUARD SMALL-CAP is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Vanguard Small Cap Growth reported a Downside Deviation of 1.54, a Mean Deviation of 1.18, and a Semi Deviation of 1.40.

Vanguard Small Cap Growth has an alpha of 0.1629, implying that it can generate a 0.1629 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

Mutual Fund Risk Measures

Based on a 90-day horizon, the coefficient of variation of VANGUARD SMALL-CAP is 1208.13. The daily returns are distributed with a variance of 2.1 and standard deviation of 1.45. The mean deviation of Vanguard Small Cap Growth is currently at 1.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96

α	Alpha over Dow Jones	0.16	Details
β	Beta against Dow Jones	1.36	Details
σ	Overall volatility	1.45	Details
Ir	Information ratio	0.11	Details

Mutual Fund Return Volatility

VANGUARD SMALL-CAP historical daily return volatility represents how much of VANGUARD SMALL-CAP fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.4486% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	VMVAX	VSIAX	FFFFX	VCSAX	VGSNX	VTWIX	QQQI	VMBSX	EQPGX	STXD
VMVAX		0.97	0.94	0.53	0.87	0.92	0.74	0.67	0.82	0.94	VMVAX
VSIAX	0.97		0.94	0.51	0.83	0.94	0.75	0.6	0.83	0.96	VSIAX
FFFFX	0.94	0.94		0.39	0.91	0.98	0.87	0.59	0.93	0.94	FFFFX
VCSAX	0.53	0.51	0.39		0.39	0.39	0.1	0.69	0.13	0.57	VCSAX
VGSNX	0.87	0.83	0.91	0.39		0.92	0.86	0.68	0.88	0.87	VGSNX
VTWIX	0.92	0.94	0.98	0.39	0.92		0.92	0.55	0.95	0.94	VTWIX
QQQI	0.74	0.75	0.87	0.1	0.86	0.92		0.29	0.98	0.76	QQQI
VMBSX	0.67	0.6	0.59	0.69	0.68	0.55	0.29		0.37	0.68	VMBSX
EQPGX	0.82	0.83	0.93	0.13	0.88	0.95	0.98	0.37		0.83	EQPGX
STXD	0.94	0.96	0.94	0.57	0.87	0.94	0.76	0.68	0.83		STXD
	VMVAX	VSIAX	FFFFX	VCSAX	VGSNX	VTWIX	QQQI	VMBSX	EQPGX	STXD

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Risk-Adjusted Indicators

Strong recent returns in VANGUARD Mutual Fund do not always mean VANGUARD SMALL-CAP Mutual Fund is outperforming peers on business quality. Risk-adjusted metrics help compare VANGUARD SMALL-CAP's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VMVAX	0.61	0.02	0.03	0.03	0.73	-0.62	1.51	-1.31	3.64
VSIAX	0.77	0.04	0.04	0.04	0.96	-0.77	1.88	-1.56	4.39
FFFFX	0.80	0.03	0.03	0.03	1.00	-0.92	1.86	-1.99	4.05
VCSAX	0.70	-0.03	0.00	-0.09	0.00	0.00	1.40	-1.41	3.74
VGSNX	0.69	0.10	0.11	0.16	0.87	-0.72	1.51	-1.17	4.69
VTWIX	0.81	0.10	0.10	0.10	0.87	-0.89	1.88	-1.78	4.38
QQQI	0.79	0.16	0.15	0.18	0.82	-0.86	1.42	-1.73	4.25
VMBSX	0.23	0.00	0.01	0.01	0.29	-0.25	0.49	-0.43	1.33
EQPGX	1.03	0.17	0.13	0.15	1.12	-1.12	2.12	-1.87	5.59
STXD	0.67	0.01	0.02	0.01	0.72	-0.87	1.45	-1.49	4.52

Risk Metrics, Assumptions & Methodology

Beta exposure for VANGUARD SMALL-CAP estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. A beta above one indicates amplified sensitivity to market swings, increasing both upside and downside exposure.

Vanguard Small Cap Growth values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that Vanguard Small Cap Growth is more volatile than Dow Jones Industrial by approximately 1.58x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 13% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

Vanguard Small Cap Growth with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a moderate upward price movement. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View VANGUARD SMALL-CAP probability analysis.

Poor diversification

VANGUARD SMALL-CAP currently posts a 0.75 correlation with Dow Jones, indicating a Poor diversification relationship for the active sample. The overlap area shows the portion of risk diversified away by holding both instruments together.

View Details

Additional Risk Indicators

Looking at additional risk metrics for Vanguard Small Cap Growth frames how the position may behave under different market and portfolio conditions. These measures support both standalone risk assessment and portfolio-level analysis.

	Risk Adjusted Performance	0.1104
	Market Risk Adjusted Performance	0.1274
	Mean Deviation	1.18
	Semi Deviation	1.4
	Downside Deviation	1.54
	Coefficient Of Variation	904.13
	Standard Deviation	1.54

VANGUARD SMALL-CAP Suggested Diversification Pairs

Pair trading with VANGUARD SMALL-CAP hedges company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.

The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against VANGUARD SMALL-CAP as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. VANGUARD SMALL-CAP's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, VANGUARD SMALL-CAP's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Vanguard Small Cap Growth.

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