Vanguard Market Correlations

VMNIX Fund

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The current 90-days correlation between Vanguard Market Neutral and Franklin Mutual Global is 0.12 (i.e., Average diversification). The correlation of Vanguard Market 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 Market Correlation With Market

Weak diversification

The correlation between Vanguard Market Neutral and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Market Neutral 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 Market Neutral. 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 gross domestic product.

Moving together with Vanguard Mutual Fund

1.0	VMNFX	Vanguard Market Neutral	Pair Corr
0.72	NAESX	Vanguard Small Cap	Pair Corr
0.72	VSCIX	Vanguard Small Cap	Pair Corr
0.72	VSCPX	Vanguard Small Cap	Pair Corr
0.72	VSEMX	Vanguard Extended Market	Pair Corr
0.7	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.47	VMMSX	Vanguard Emerging Markets	Pair Corr
0.38	VMLUX	Vanguard Limited Term	Pair Corr
0.38	VMLTX	Vanguard Limited Term	Pair Corr
0.35	VMNVX	Vanguard Global Minimum	Pair Corr
0.35	VMVFX	Vanguard Global Minimum	Pair Corr
0.33	VMSIX	Vanguard Multi Sector	Pair Corr
0.39	VAIPX	Vanguard Inflation-protec	Pair Corr
0.35	VPADX	Vanguard Pacific Stock	Pair Corr
0.35	VPACX	Vanguard Pacific Stock	Pair Corr
0.35	VPKIX	Vanguard Pacific Stock	Pair Corr
0.48	VSBIX	Vanguard Short Term	Pair Corr
0.48	VSIGX	Vanguard Intermediate-ter	Pair Corr
0.47	VSBSX	Vanguard Short Term	Pair Corr
0.47	VSGDX	Vanguard Short Term	Pair Corr
0.47	VSGBX	Vanguard Short Term	Pair Corr
0.45	VSCSX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	TEDIX	LMLRX	MSTGX	CABIX	GMLVX	LFLCX	ARECX
TEDIX		0.47	0.89	0.58	0.79	0.89	0.67	TEDIX
LMLRX	0.47		0.51	0.96	0.54	0.47	0.84	LMLRX
MSTGX	0.89	0.51		0.65	0.8	0.98	0.74	MSTGX
CABIX	0.58	0.96	0.65		0.67	0.62	0.9	CABIX
GMLVX	0.79	0.54	0.8	0.67		0.77	0.68	GMLVX
LFLCX	0.89	0.47	0.98	0.62	0.77		0.73	LFLCX
ARECX	0.67	0.84	0.74	0.9	0.68	0.73		ARECX
	TEDIX	LMLRX	MSTGX	CABIX	GMLVX	LFLCX	ARECX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Market 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 Market'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
TEDIX	0.65	0.00	0.00	0.00	1.60	(0.57)	1.01	(1.47)	7.35
LMLRX	0.33	(0.01)	0.00	(0.03)	0.00	0.00	0.61	(0.69)	2.17
MSTGX	0.30	0.05	0.09	(0.50)	0.33	(0.34)	0.74	(0.62)	1.58
CABIX	0.38	(0.01)	(0.02)	(0.02)	0.51	(0.38)	0.73	(0.80)	2.58
GMLVX	0.70	0.03	0.03	0.07	0.90	(0.76)	1.57	(1.62)	5.51
LFLCX	0.18	0.01	0.03	(0.37)	0.14	(0.21)	0.43	(0.33)	0.98
ARECX	0.79	(0.02)	0.00	(0.03)	0.00	0.00	1.56	(1.47)	4.45

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