Vanguard Consumer Correlations

VCSAX Fund

USD 110.31 0.51 0.46%

The current 90-days correlation between Vanguard Sumer Staples and Blackrock Government Bond is 0.38 (i.e., Weak diversification). The correlation of Vanguard Consumer 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 Consumer Correlation With Market

Modest diversification

The correlation between Vanguard Sumer Staples and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Sumer Staples 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 Sumer Staples. 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

0.9

Procter Gamble Sell-off Trend

Pair Corr

Moving against Vanguard Mutual Fund

0.33	LW	Lamb Weston Holdings	Pair Corr
0.32	BRCNF	Burcon NutraScience Corp	Pair Corr
0.34	DDL	Dingdong ADR	Pair Corr
0.33	WTER	Alkaline Water	Pair Corr
0.32	FAMI	Farmmi Inc	Pair Corr

Related Correlations Analysis

	BIGLX	FISAX	FHNFX	DIPXX	TWACX	LCCXX	ICAXX	GSOSX
BIGLX		0.45	0.99	-0.76	0.94	0.0	0.0	1.0	BIGLX
FISAX	0.45		0.46	-0.03	0.65	0.0	0.0	0.43	FISAX
FHNFX	0.99	0.46		-0.78	0.95	0.0	0.0	1.0	FHNFX
DIPXX	-0.76	-0.03	-0.78		-0.62	0.0	0.0	-0.78	DIPXX
TWACX	0.94	0.65	0.95	-0.62		0.0	0.0	0.94	TWACX
LCCXX	0.0	0.0	0.0	0.0	0.0		0.0	0.0	LCCXX
ICAXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	ICAXX
GSOSX	1.0	0.43	1.0	-0.78	0.94	0.0	0.0		GSOSX
	BIGLX	FISAX	FHNFX	DIPXX	TWACX	LCCXX	ICAXX	GSOSX

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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

GSOSX	+ 1.0	BIGLX
GSOSX	+ 1.0	FHNFX
FHNFX	+ 0.99	BIGLX
TWACX	+ 0.95	FHNFX
TWACX	+ 0.94	BIGLX
GSOSX	+ 0.94	TWACX

High negative correlations

GSOSX	- 0.78	DIPXX
DIPXX	- 0.78	FHNFX
DIPXX	- 0.76	BIGLX
TWACX	- 0.62	DIPXX
DIPXX	- 0.03	FISAX
GSOSX	- 0.0	ICAXX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Consumer 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 Consumer'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
BIGLX	0.23	(0.02)	0.00	0.54	0.00	0.33	(0.55)	1.44
FISAX	0.07	0.00	(0.67)	0.08	(0.18)	0.13	(0.13)	0.80
FHNFX	0.24	(0.01)	0.00	0.23	0.00	0.54	(0.54)	1.63
DIPXX	0.03	0.01	0.00	(2.41)	0.00	0.00	0.00	1.01
TWACX	0.08	(0.01)	0.00	0.49	0.00	0.11	(0.11)	0.78
LCCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GSOSX	0.22	(0.02)	0.00	0.47	0.00	0.46	(0.69)	1.40

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