Vanguard Global Correlations

VGWLX Fund

USD 27.21 0.00 0.00%

The current 90-days correlation between Vanguard Global Well and Vanguard Global Wellesley is 0.86 (i.e., Very poor diversification). The correlation of Vanguard Global 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 Global Correlation With Market

Good diversification

The correlation between Vanguard Global Wellington and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Global Wellington 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 Global Wellington. 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 bureau of economic analysis.

Moving together with Vanguard Mutual Fund

0.68	VPADX	Vanguard Pacific Stock	Pair Corr
0.68	VPACX	Vanguard Pacific Stock	Pair Corr
0.68	VPKIX	Vanguard Pacific Stock	Pair Corr
0.63	VADGX	Vanguard Advice Select	Pair Corr
0.71	VAIPX	Vanguard Inflation-protec	Pair Corr
0.61	VSCSX	Vanguard Short Term	Pair Corr

Moving against Vanguard Mutual Fund

0.31

VSEMX

Vanguard Extended Market

Pair Corr

Related Correlations Analysis

	VGWIX	VGWAX	VWICX	VMVFX	VCORX
VGWIX		0.83	0.67	0.16	0.83	VGWIX
VGWAX	0.83		0.77	0.34	0.6	VGWAX
VWICX	0.67	0.77		0.09	0.41	VWICX
VMVFX	0.16	0.34	0.09		-0.29	VMVFX
VCORX	0.83	0.6	0.41	-0.29		VCORX
	VGWIX	VGWAX	VWICX	VMVFX	VCORX

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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

VGWAX	+ 0.83	VGWIX
VCORX	+ 0.83	VGWIX
VWICX	+ 0.77	VGWAX
VWICX	+ 0.67	VGWIX
VCORX	+ 0.6	VGWAX
VCORX	+ 0.41	VWICX

High negative correlations

VCORX

- 0.29

VMVFX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Global 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 Global'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
VGWIX	0.24	0.00	(0.37)	0.09	0.26	(0.25)	0.45	(0.41)	1.32
VGWAX	0.31	(0.05)	(0.31)	(0.03)	0.37	(0.36)	0.63	(0.65)	1.52
VWICX	0.64	(0.08)	0.00	(0.06)	0.00	0.00	1.26	(1.54)	4.24
VMVFX	0.39	0.02	(0.18)	0.36	0.41	(0.44)	0.68	(0.79)	1.90
VCORX	0.23	(0.03)	0.00	(0.27)	0.00	0.00	0.44	(0.55)	1.34

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