Vanguard Diversified Correlations

VDEQX Fund

USD 49.18 0.69 1.38%

The current 90-days correlation between Vanguard Diversified and Vanguard Strategic Small Cap is 0.83 (i.e., Very 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

Poor diversification

The correlation between Vanguard Diversified Equity and DJI is 0.72 (i.e., Poor 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

0.65	VMIAX	Vanguard Materials Index	Pair Corr
0.64	VMNIX	Vanguard Market Neutral	Pair Corr
0.64	VMNFX	Vanguard Market Neutral	Pair Corr
0.82	VMVAX	Vanguard Mid Cap	Pair Corr
0.82	VMVIX	Vanguard Mid Cap	Pair Corr
0.82	VPCCX	Vanguard Primecap	Pair Corr
0.73	VPMCX	Vanguard Primecap	Pair Corr
0.72	VPMAX	Vanguard Primecap	Pair Corr
0.9	NAESX	Vanguard Small Cap	Pair Corr
0.9	VQNPX	Vanguard Growth And	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.97	VSEMX	Vanguard Extended Market	Pair Corr
0.96	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.47	VMLUX	Vanguard Limited Term	Pair Corr
0.47	VMLTX	Vanguard Limited Term	Pair Corr
0.39	VMSIX	Vanguard Multi Sector	Pair Corr
0.38	VMVFX	Vanguard Global Minimum	Pair Corr
0.37	VMNVX	Vanguard Global Minimum	Pair Corr
0.36	VMMSX	Vanguard Emerging Markets	Pair Corr
0.53	VAIPX	Vanguard Inflation-protec	Pair Corr
0.72	VSBIX	Vanguard Short Term	Pair Corr
0.71	VSBSX	Vanguard Short Term	Pair Corr
0.69	VSGBX	Vanguard Short Term	Pair Corr
0.64	VSGDX	Vanguard Short Term	Pair Corr
0.63	VSIGX	Vanguard Intermediate-ter	Pair Corr
0.62	VSCSX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	VSTCX	VMGRX	VEVFX	VLACX	VMMSX
VSTCX		0.95	0.99	0.91	-0.54	VSTCX
VMGRX	0.95		0.96	0.96	-0.4	VMGRX
VEVFX	0.99	0.96		0.92	-0.5	VEVFX
VLACX	0.91	0.96	0.92		-0.27	VLACX
VMMSX	-0.54	-0.4	-0.5	-0.27		VMMSX
	VSTCX	VMGRX	VEVFX	VLACX	VMMSX

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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

VEVFX	+ 0.99	VSTCX
VEVFX	+ 0.96	VMGRX
VLACX	+ 0.96	VMGRX
VMGRX	+ 0.95	VSTCX
VLACX	+ 0.92	VEVFX
VLACX	+ 0.91	VSTCX

High negative correlations

VMMSX	- 0.54	VSTCX
VMMSX	- 0.5	VEVFX
VMMSX	- 0.4	VMGRX
VMMSX	- 0.27	VLACX

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	0.96	(0.14)	0.00	(0.13)	0.00	0.00	1.65	(2.16)	4.83
VMGRX	1.18	(0.12)	0.00	1.18	0.00	0.00	1.86	(2.60)	6.20
VEVFX	0.85	(0.12)	0.00	(0.12)	0.00	0.00	1.41	(2.07)	3.94
VLACX	0.82	(0.09)	0.00	(0.10)	0.00	0.00	1.63	(1.75)	4.65
VMMSX	0.77	0.08	0.09	0.20	0.83	(0.90)	1.61	(1.41)	5.75

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