Vanguard Small-cap Correlations

VISVX Fund

USD 51.78 0.07 0.14%

The current 90-days correlation between Vanguard Small Cap and Vanguard Materials Index is 0.83 (i.e., Very poor diversification). The correlation of Vanguard Small-cap 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 Small-cap Correlation With Market

Very poor diversification

The correlation between Vanguard Small Cap Value and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value 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 Small Cap Value. 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 real.

Moving together with Vanguard Mutual Fund

0.67	VMIAX	Vanguard Materials Index	Pair Corr
0.75	VMNVX	Vanguard Global Minimum	Pair Corr
0.97	VMVAX	Vanguard Mid Cap	Pair Corr
0.97	VMVIX	Vanguard Mid Cap	Pair Corr
0.75	VMVFX	Vanguard Global Minimum	Pair Corr
0.94	VMVLX	Vanguard Mega Cap	Pair Corr
0.82	VPCCX	Vanguard Primecap	Pair Corr
0.71	VPMCX	Vanguard Primecap	Pair Corr
0.71	VPMAX	Vanguard Primecap	Pair Corr
1.0	NAESX	Vanguard Small Cap	Pair Corr
0.95	VQNPX	Vanguard Growth And	Pair Corr
0.76	VAGVX	Vanguard Advice Select	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
1.0	VSCPX	Vanguard Small Cap	Pair Corr
0.99	VSEMX	Vanguard Extended Market	Pair Corr
1.0	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.49	VMNIX	Vanguard Market Neutral	Pair Corr
0.49	VMNFX	Vanguard Market Neutral	Pair Corr
0.37	VPADX	Vanguard Pacific Stock	Pair Corr
0.37	VPACX	Vanguard Pacific Stock	Pair Corr
0.37	VPKIX	Vanguard Pacific Stock	Pair Corr
0.72	VSIGX	Vanguard Intermediate	Pair Corr
0.58	VAIPX	Vanguard Inflation-protec	Pair Corr
0.55	VSGDX	Vanguard Short Term	Pair Corr
0.55	VSGBX	Vanguard Short Term	Pair Corr
0.45	VSBIX	Vanguard Short Term	Pair Corr
0.4	VSBSX	Vanguard Short Term	Pair Corr
0.34	VSCSX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VMMSX	VMNIX	VMNFX	VMSIX	VMVAX	VMVIX
VMIAX		0.13	0.13	0.75	0.68	-0.07	-0.08	0.32	0.75	0.75	VMIAX
VMLUX	0.13		1.0	0.15	0.26	0.09	0.09	0.75	0.1	0.1	VMLUX
VMLTX	0.13	1.0		0.15	0.26	0.09	0.09	0.75	0.1	0.1	VMLTX
VMNVX	0.75	0.15	0.15		0.26	-0.25	-0.24	0.28	0.79	0.8	VMNVX
VMMSX	0.68	0.26	0.26	0.26		0.36	0.36	0.15	0.21	0.21	VMMSX
VMNIX	-0.07	0.09	0.09	-0.25	0.36		1.0	-0.09	-0.52	-0.52	VMNIX
VMNFX	-0.08	0.09	0.09	-0.24	0.36	1.0		-0.09	-0.52	-0.52	VMNFX
VMSIX	0.32	0.75	0.75	0.28	0.15	-0.09	-0.09		0.38	0.38	VMSIX
VMVAX	0.75	0.1	0.1	0.79	0.21	-0.52	-0.52	0.38		1.0	VMVAX
VMVIX	0.75	0.1	0.1	0.8	0.21	-0.52	-0.52	0.38	1.0		VMVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VMMSX	VMNIX	VMNFX	VMSIX	VMVAX	VMVIX

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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

VMLTX	+ 1.0	VMLUX
VMNFX	+ 1.0	VMNIX
VMVIX	+ 1.0	VMVAX
VMVIX	+ 0.8	VMNVX
VMVAX	+ 0.79	VMNVX
VMNVX	+ 0.75	VMIAX

High negative correlations

VMVIX	- 0.52	VMNFX
VMVAX	- 0.52	VMNFX
VMVIX	- 0.52	VMNIX
VMVAX	- 0.52	VMNIX
VMNIX	- 0.25	VMNVX
VMNFX	- 0.24	VMNVX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small-cap 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 Small-cap'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
VMIAX	0.71	(0.05)	(0.07)	0.08	0.77	(0.78)	1.31	(1.19)	3.79
VMLUX	0.07	0.01	(0.62)	(0.03)	0.00	(0.13)	0.18	(0.18)	0.74
VMLTX	0.07	0.01	(0.62)	(0.03)	0.00	(0.13)	0.18	(0.18)	0.74
VMNVX	0.40	(0.04)	(0.21)	0.05	0.42	(0.43)	0.73	(0.73)	1.81
VMMSX	0.83	(0.05)	(0.11)	0.00	1.10	(0.87)	1.78	(1.97)	6.50
VMNIX	0.28	(0.07)	0.00	(0.43)	0.00	0.00	0.63	(0.62)	2.27
VMNFX	0.28	(0.08)	0.00	(0.40)	0.00	0.00	0.63	(0.62)	2.26
VMSIX	0.13	0.01	(0.58)	2.18	0.00	(0.22)	0.33	(0.33)	0.99
VMVAX	0.53	0.03	(0.01)	0.16	0.34	(0.59)	1.08	(0.88)	3.06
VMVIX	0.53	0.03	(0.01)	0.16	0.33	(0.59)	1.08	(0.89)	3.07

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