Vanguard Small-cap Correlations

VSGIX Fund

USD 73.50 1.10 1.47%

The current 90-days correlation between Vanguard Small Cap and Vanguard Materials Index is -0.05 (i.e., Good 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

Good diversification

The correlation between Vanguard Small Cap Growth 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 Small Cap Growth 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 Growth. 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

0.64	VMNFX	Vanguard Market Neutral	Pair Corr
0.72	VMVAX	Vanguard Mid Cap	Pair Corr
0.91	NAESX	Vanguard Small Cap	Pair Corr
0.62	VADGX	Vanguard Advice Select	Pair Corr
0.87	VSCIX	Vanguard Small Cap	Pair Corr
0.87	VSEMX	Vanguard Extended Market	Pair Corr
0.91	VSGAX	Vanguard Small Cap	Pair Corr
0.89	VSIAX	Vanguard Small Cap	Pair Corr
0.91	VSMAX	Vanguard Small Cap	Pair Corr
0.98	VSMVX	Vanguard Sp Small	Pair Corr
0.99	VSMSX	Vanguard Sp Small	Pair Corr
0.85	VSMPX	Vanguard Total Stock	Pair Corr
0.97	VSPGX	Vanguard Sp 500	Pair Corr
0.99	VSPMX	Vanguard Sp Mid	Pair Corr
0.85	VSTSX	Vanguard Total Stock	Pair Corr
0.97	VSTCX	Vanguard Strategic	Pair Corr
0.82	VBAIX	Vanguard Balanced Index	Pair Corr
0.78	VBIAX	Vanguard Balanced Index	Pair Corr
0.82	VBINX	Vanguard Balanced Index	Pair Corr

Moving against Vanguard Mutual Fund

0.55	VMLUX	Vanguard Limited Term	Pair Corr
0.55	VMLTX	Vanguard Limited Term	Pair Corr
0.48	VMSIX	Vanguard Multi Sector	Pair Corr
0.47	VMMSX	Vanguard Emerging Markets	Pair Corr
0.46	VMNVX	Vanguard Global Minimum	Pair Corr
0.46	VMVFX	Vanguard Global Minimum	Pair Corr
0.39	VPKIX	Vanguard Pacific Stock	Pair Corr
0.38	VPADX	Vanguard Pacific Stock	Pair Corr
0.37	VPACX	Vanguard Pacific Stock	Pair Corr
0.79	VSIGX	Vanguard Intermediate-ter	Pair Corr
0.7	VSBIX	Vanguard Short Term	Pair Corr
0.7	VSBSX	Vanguard Short Term	Pair Corr
0.69	VSGDX	Vanguard Short Term	Pair Corr
0.69	VSGBX	Vanguard Short Term	Pair Corr
0.63	VSCSX	Vanguard Short Term	Pair Corr
0.57	VAIPX	Vanguard Inflation-protec	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX
VMIAX		0.13	0.13	0.17	0.81	0.25	0.49	0.49	0.29	VMIAX
VMLUX	0.13		1.0	0.83	0.35	0.76	-0.41	-0.41	0.86	VMLUX
VMLTX	0.13	1.0		0.83	0.35	0.76	-0.41	-0.41	0.86	VMLTX
VMNVX	0.17	0.83	0.83		0.47	0.84	-0.42	-0.42	0.87	VMNVX
VVIAX	0.81	0.35	0.35	0.47		0.35	0.29	0.29	0.41	VVIAX
VMMSX	0.25	0.76	0.76	0.84	0.35		-0.47	-0.47	0.96	VMMSX
VMNIX	0.49	-0.41	-0.41	-0.42	0.29	-0.47		1.0	-0.4	VMNIX
VMNFX	0.49	-0.41	-0.41	-0.42	0.29	-0.47	1.0		-0.4	VMNFX
VDVIX	0.29	0.86	0.86	0.87	0.41	0.96	-0.4	-0.4		VDVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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
VDVIX	+ 0.96	VMMSX
VDVIX	+ 0.87	VMNVX
VDVIX	+ 0.86	VMLUX
VDVIX	+ 0.86	VMLTX

High negative correlations

VMNFX	- 0.47	VMMSX
VMNIX	- 0.47	VMMSX
VMNFX	- 0.42	VMNVX
VMNIX	- 0.42	VMNVX
VMNFX	- 0.41	VMLTX
VMNIX	- 0.41	VMLTX

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	0.80	0.00	0.00	0.00	0.94	(0.91)	1.65	(1.54)	5.09
VMLUX	0.08	0.01	0.06	0.43	0.00	(0.12)	0.18	(0.09)	0.55
VMLTX	0.08	0.01	0.06	0.43	0.00	(0.12)	0.18	(0.09)	0.55
VMNVX	0.42	0.06	0.13	(0.50)	0.35	(0.48)	0.97	(0.65)	2.59
VVIAX	0.63	0.02	0.02	(0.13)	0.71	(0.70)	1.21	(1.22)	3.41
VMMSX	0.77	0.08	0.09	0.20	0.83	(0.90)	1.61	(1.41)	5.75
VMNIX	0.38	0.00	0.00	(0.01)	0.44	(0.39)	0.85	(0.67)	2.04
VMNFX	0.38	0.00	0.00	(0.01)	0.42	(0.41)	0.90	(0.69)	1.96
VDVIX	0.66	0.12	0.13	0.19	0.67	(0.79)	1.58	(1.13)	4.64

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC