Vanguard Municipal Correlations

VMSXX Fund

USD 1.00 0.00 0.00%

The current 90-days correlation between Vanguard Municipal Bond and Vanguard Federal Money is 1.0 (i.e., No risk reduction). The correlation of Vanguard Municipal 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 Municipal Correlation With Market

Good diversification

The correlation between Vanguard Municipal Bond and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Municipal Bond 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 Municipal Bond. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Vanguard Money Market Fund

1.0	VMFXX	Vanguard Federal Money	Pair Corr
0.67	FCNTX	Fidelity Contrafund	Pair Corr
0.66	PRGTX	T Rowe Price	Pair Corr
0.65	AVEMX	Ave Maria Value	Pair Corr
0.63	ETY	Eaton Vance Tax	Pair Corr
0.64	USA	Liberty All Star	Pair Corr
0.62	CNGFX	New Economy Fund	Pair Corr
0.65	VENAX	Vanguard Energy Index	Pair Corr
0.65	BGSAX	Blackrock Science	Pair Corr
0.87	RSFYX	Victory Floating Rate	Pair Corr
0.62	JGLTX	Global Technology	Pair Corr
0.61	MIEZX	Mm Sp 500	Pair Corr
0.61	RICGX	Investment Of America	Pair Corr
0.62	VFIAX	Vanguard 500 Index	Pair Corr
0.7	FSELX	Fidelity Select Semi	Pair Corr
0.61	LMUSX	Qs Large Cap	Pair Corr
0.73	AIWEX	World Energy	Pair Corr

Moving against Vanguard Money Market Fund

0.88	PFHCX	Pacific Funds Small	Pair Corr
0.33	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	VMSXX	VMFXX	FFEFX	ICMUX	GMRIX	MGGNX	SABIX	PEO	FAGOX	VPRAX
VMSXX		1.0	0.49	0.74	0.45	-0.06	0.53	0.73	0.65	0.49	VMSXX
VMFXX	1.0		0.49	0.74	0.45	-0.06	0.53	0.73	0.65	0.49	VMFXX
FFEFX	0.49	0.49		0.79	0.92	0.18	0.9	0.76	0.78	0.84	FFEFX
ICMUX	0.74	0.74	0.79		0.86	0.32	0.9	0.64	0.95	0.89	ICMUX
GMRIX	0.45	0.45	0.92	0.86		0.34	0.96	0.59	0.87	0.92	GMRIX
MGGNX	-0.06	-0.06	0.18	0.32	0.34		0.36	-0.14	0.37	0.5	MGGNX
SABIX	0.53	0.53	0.9	0.9	0.96	0.36		0.61	0.92	0.95	SABIX
PEO	0.73	0.73	0.76	0.64	0.59	-0.14	0.61		0.52	0.5	PEO
FAGOX	0.65	0.65	0.78	0.95	0.87	0.37	0.92	0.52		0.94	FAGOX
VPRAX	0.49	0.49	0.84	0.89	0.92	0.5	0.95	0.5	0.94		VPRAX
	VMSXX	VMFXX	FFEFX	ICMUX	GMRIX	MGGNX	SABIX	PEO	FAGOX	VPRAX

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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

VMFXX	+ 1.0	VMSXX
SABIX	+ 0.96	GMRIX
FAGOX	+ 0.95	ICMUX
VPRAX	+ 0.95	SABIX
VPRAX	+ 0.94	FAGOX
GMRIX	+ 0.92	FFEFX

High negative correlations

PEO	- 0.14	MGGNX
MGGNX	- 0.06	VMFXX
MGGNX	- 0.06	VMSXX

Risk-Adjusted Indicators

There is a big difference between Vanguard Money Market Fund performing well and Vanguard Municipal Money Market 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 Municipal'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
VMSXX	0.03	0.01	0.00	(0.35)	0.00	0.00	0.00	0.00	1.01
VMFXX	0.03	0.01	0.00	(0.35)	0.00	0.00	0.00	0.00	1.01
FFEFX	0.47	(0.02)	(0.09)	0.06	0.42	(0.55)	1.00	(0.77)	3.25
ICMUX	0.09	0.02	(0.36)	0.35	0.00	(0.15)	0.22	(0.11)	0.78
GMRIX	0.89	0.02	0.06	0.10	0.76	(1.04)	2.09	(1.50)	7.56
MGGNX	0.19	0.00	(0.32)	(0.02)	0.19	(0.25)	0.34	(0.34)	1.13
SABIX	0.46	(0.01)	(0.06)	0.08	0.62	(0.54)	1.16	(0.80)	2.94
PEO	0.72	0.02	(0.03)	0.13	0.94	(0.73)	1.63	(1.59)	4.73
FAGOX	0.72	0.15	0.12	0.27	0.74	(0.75)	1.97	(1.32)	5.65
VPRAX	0.30	0.00	(0.10)	0.09	0.34	(0.32)	0.52	(0.62)	2.51

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