Vanguard Diversified Correlations

VDEQX Fund

USD 50.60 0.85 1.65%

The current 90-days correlation between Vanguard Diversified and Vanguard Strategic Small Cap is 0.72 (i.e., Poor diversification). The correlation of Vanguard Diversified 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 Diversified Correlation With Market

Very weak diversification

The correlation between Vanguard Diversified Equity and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Diversified Equity 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 Diversified Equity. 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 producer price index.

Moving together with Vanguard Mutual Fund

0.73	VMIAX	Vanguard Materials Index	Pair Corr
0.7	VMVAX	Vanguard Mid Cap	Pair Corr
0.7	VMVIX	Vanguard Mid Cap	Pair Corr
0.79	VPCCX	Vanguard Primecap	Pair Corr
0.77	VPMCX	Vanguard Primecap	Pair Corr
0.61	NAESX	Vanguard Small Cap	Pair Corr
0.74	VQNPX	Vanguard Growth And	Pair Corr
0.65	VRTPX	Vanguard Reit Ii	Pair Corr
0.79	VADGX	Vanguard Advice Select	Pair Corr
0.74	VAGVX	Vanguard Advice Select	Pair Corr
0.61	VSCIX	Vanguard Small Cap	Pair Corr
0.79	VSCGX	Vanguard Lifestrategy	Pair Corr
0.61	VSCPX	Vanguard Small Cap	Pair Corr
0.68	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.42

VSBSX

Vanguard Short Term

Pair Corr

Related Correlations Analysis

	VSTCX	VMGRX	VEVFX	VLACX	VMMSX
VSTCX		0.22	1.0	0.29	0.14	VSTCX
VMGRX	0.22		0.17	0.84	0.32	VMGRX
VEVFX	1.0	0.17		0.26	0.16	VEVFX
VLACX	0.29	0.84	0.26		0.66	VLACX
VMMSX	0.14	0.32	0.16	0.66		VMMSX
	VSTCX	VMGRX	VEVFX	VLACX	VMMSX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Diversified 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 Diversified'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
VSTCX	0.94	(0.21)	0.00	(0.26)	0.00	0.00	1.65	(1.44)	13.47
VMGRX	1.00	(0.11)	0.00	(0.17)	0.00	0.00	1.55	(2.13)	5.93
VEVFX	0.93	(0.26)	0.00	(0.36)	0.00	0.00	1.41	(1.69)	16.38
VLACX	0.66	(0.01)	0.00	(0.04)	0.00	0.00	1.12	(1.51)	3.86
VMMSX	0.63	0.01	0.03	0.01	0.75	(0.73)	1.48	(1.41)	3.48

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