Vanguard Mega Correlations

VMGAX Fund

USD 691.60 11.46 1.68%

The current 90-days correlation between Vanguard Mega Cap and Vanguard Materials Index is 0.47 (i.e., Very weak diversification). The correlation of Vanguard Mega 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 Mega Correlation With Market

Significant diversification

The correlation between Vanguard Mega Cap and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mega Cap 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 Mega Cap. 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

0.63	NAESX	Vanguard Small Cap	Pair Corr
0.65	VSCIX	Vanguard Small Cap	Pair Corr
0.66	VSCPX	Vanguard Small Cap	Pair Corr
0.76	VSEMX	Vanguard Extended Market	Pair Corr

Moving against Vanguard Mutual Fund

0.74	VMMSX	Vanguard Emerging Markets	Pair Corr
0.59	VPACX	Vanguard Pacific Stock	Pair Corr
0.59	VPKIX	Vanguard Pacific Stock	Pair Corr
0.58	VPADX	Vanguard Pacific Stock	Pair Corr
0.57	VMIAX	Vanguard Materials Index	Pair Corr
0.47	VMNIX	Vanguard Market Neutral	Pair Corr
0.47	VMNFX	Vanguard Market Neutral	Pair Corr
0.44	VRTPX	Vanguard Reit Ii	Pair Corr
0.33	VMNVX	Vanguard Global Minimum	Pair Corr
0.56	VAIPX	Vanguard Inflation	Pair Corr
0.55	VSBIX	Vanguard Short Term	Pair Corr
0.53	VSIGX	Vanguard Intermediate	Pair Corr
0.4	VSCSX	Vanguard Short Term	Pair Corr
0.34	VAGVX	Vanguard Advice Select	Pair Corr
0.31	VSGDX	Vanguard Short Term	Pair Corr
0.31	VSGBX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX
VMIAX		0.23	0.23	0.94	0.74	0.73	0.69	0.69	0.78	VMIAX
VMLUX	0.23		1.0	0.4	0.45	0.24	0.18	0.18	0.43	VMLUX
VMLTX	0.23	1.0		0.4	0.45	0.24	0.18	0.18	0.43	VMLTX
VMNVX	0.94	0.4	0.4		0.86	0.61	0.61	0.61	0.71	VMNVX
VVIAX	0.74	0.45	0.45	0.86		0.24	0.38	0.38	0.37	VVIAX
VMMSX	0.73	0.24	0.24	0.61	0.24		0.78	0.78	0.94	VMMSX
VMNIX	0.69	0.18	0.18	0.61	0.38	0.78		1.0	0.73	VMNIX
VMNFX	0.69	0.18	0.18	0.61	0.38	0.78	1.0		0.73	VMNFX
VDVIX	0.78	0.43	0.43	0.71	0.37	0.94	0.73	0.73		VDVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Mega 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 Mega'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
VMIAX	0.65	(0.20)	(0.98)	1.01	(1.30)	5.73
VMLUX	0.08	(0.02)	(0.69)	0.19	(0.18)	0.74
VMLTX	0.08	(0.02)	(0.69)	0.19	(0.18)	0.74
VMNVX	0.43	(0.09)	(0.46)	0.70	(0.71)	6.19
VVIAX	0.51	(0.06)	(0.61)	1.09	(0.79)	5.19
VMMSX	0.72	(0.20)	14.80	1.54	(1.99)	4.88
VMNIX	0.36	(0.14)	(2.38)	0.63	(0.64)	6.52
VMNFX	0.36	(0.14)	(2.36)	0.63	(0.64)	6.50
VDVIX	0.55	(0.14)	(2.04)	0.82	(1.42)	3.71

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