Vanguard Small-cap Correlations

VSIIX Fund

USD 46.01 0.21 0.45%

The current 90-days correlation between Vanguard Small Cap and Tax Managed International Equity is 0.71 (i.e., 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

Poor diversification

The correlation between Vanguard Small Cap Value and DJI is 0.78 (i.e., 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 gross domestic product.

Moving together with Vanguard Mutual Fund

0.65	VMIAX	Vanguard Materials Index	Pair Corr
0.73	VMNIX	Vanguard Market Neutral	Pair Corr
0.73	VMNFX	Vanguard Market Neutral	Pair Corr
0.84	VMVAX	Vanguard Mid Cap	Pair Corr
0.99	VSCIX	Vanguard Small Cap	Pair Corr
0.99	VSEMX	Vanguard Extended Market	Pair Corr
0.94	VSGAX	Vanguard Small Cap	Pair Corr
1.0	VSIAX	Vanguard Small Cap	Pair Corr
0.94	VSMAX	Vanguard Small Cap	Pair Corr
0.88	VSMPX	Vanguard Total Stock	Pair Corr
0.88	VSTSX	Vanguard Total Stock	Pair Corr
0.91	VTMFX	Vanguard Tax Managed	Pair Corr
0.88	VTSAX	Vanguard Total Stock	Pair Corr
0.88	VTSMX	Vanguard Total Stock	Pair Corr

Moving against Vanguard Mutual Fund

0.67	VBTLX	Vanguard Total Bond	Pair Corr
0.65	VSGBX	Vanguard Short Term	Pair Corr
0.62	VTBIX	Vanguard Total Bond	Pair Corr
0.62	VTBNX	Vanguard Total Bond	Pair Corr
0.62	VBTIX	Vanguard Total Bond	Pair Corr
0.53	VBLIX	Vanguard Long Term	Pair Corr
0.48	VTIAX	Vanguard Total Inter	Pair Corr
0.47	VMLUX	Vanguard Limited Term	Pair Corr
0.47	VMLTX	Vanguard Limited Term	Pair Corr
0.43	VMMSX	Vanguard Emerging Markets	Pair Corr
0.42	VMSIX	Vanguard Multi Sector	Pair Corr
0.39	VMNVX	Vanguard Global Minimum	Pair Corr
0.62	VFIJX	Vanguard Gnma	Pair Corr
0.6	VUBFX	Vanguard Ultra-short-term	Pair Corr
0.55	VWSUX	Vanguard Short Term	Pair Corr
0.55	VWSTX	Vanguard Short Term	Pair Corr
0.51	VEUSX	Vanguard European Stock Potential Growth	Pair Corr
0.43	VTPSX	Vanguard Total Inter	Pair Corr
0.43	VTSNX	Vanguard Total Inter	Pair Corr
0.4	VEMAX	Vanguard Emerging Markets	Pair Corr
0.4	VEMIX	Vanguard Emerging Markets	Pair Corr
0.31	VWIUX	Vanguard Intermediate-ter	Pair Corr
0.31	VWITX	Vanguard Intermediate-ter	Pair Corr

Related Correlations Analysis

	RTIUX	FZDAQX	OPTCX	ABVCX	FLAKQX	FMFTX	WMCANX
RTIUX		0.37	0.77	0.29	0.27	0.01	0.28	RTIUX
FZDAQX	0.37		0.16	0.46	0.6	0.36	0.56	FZDAQX
OPTCX	0.77	0.16		0.15	0.04	-0.26	0.01	OPTCX
ABVCX	0.29	0.46	0.15		0.72	0.41	0.89	ABVCX
FLAKQX	0.27	0.6	0.04	0.72		0.56	0.83	FLAKQX
FMFTX	0.01	0.36	-0.26	0.41	0.56		0.6	FMFTX
WMCANX	0.28	0.56	0.01	0.89	0.83	0.6		WMCANX
	RTIUX	FZDAQX	OPTCX	ABVCX	FLAKQX	FMFTX	WMCANX

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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

WMCANX	+ 0.89	ABVCX
WMCANX	+ 0.83	FLAKQX
OPTCX	+ 0.77	RTIUX
FLAKQX	+ 0.72	ABVCX
FLAKQX	+ 0.6	FZDAQX
WMCANX	+ 0.6	FMFTX

High negative correlations

FMFTX

- 0.26

OPTCX

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
RTIUX	0.60	0.09	0.09	0.17	0.73	(0.65)	1.47	(1.45)	5.02
FZDAQX	0.11	(0.01)	(0.03)	(0.05)	0.17	(0.15)	0.21	(0.21)	1.03
OPTCX	0.06	(0.01)	(0.03)	3.08	0.07	(0.18)	0.21	(0.21)	0.93
ABVCX	0.68	(0.02)	0.00	(0.02)	0.00	0.00	1.38	(1.63)	3.68
FLAKQX	0.84	0.01	0.01	0.10	1.11	(0.93)	1.75	(2.40)	4.80
FMFTX	0.92	(0.14)	0.00	(5.00)	0.00	0.00	1.43	(2.17)	8.22
WMCANX	0.60	0.02	0.02	0.03	0.75	(0.65)	1.37	(1.29)	3.48

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