Vanguard Total Correlations

VTBIX Fund

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The current 90-days correlation between Vanguard Total Bond and Vanguard Materials Index is 0.17 (i.e., Average diversification). The correlation of Vanguard Total 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 Total Correlation With Market

Average diversification

The correlation between Vanguard Total Bond and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total 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 Total Bond. 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

0.92	VMLUX	Vanguard Limited Term	Pair Corr
0.92	VMLTX	Vanguard Limited Term	Pair Corr
0.9	VMNVX	Vanguard Global Minimum	Pair Corr
0.79	VMMSX	Vanguard Emerging Markets	Pair Corr
0.95	VMSIX	Vanguard Multi Sector	Pair Corr
0.91	VMVFX	Vanguard Global Minimum	Pair Corr
0.7	VNJUX	Vanguard New Jersey	Pair Corr
0.61	VNYUX	Vanguard New York	Pair Corr
0.73	VOHIX	Vanguard Ohio Long	Pair Corr
0.78	VPADX	Vanguard Pacific Stock	Pair Corr
0.78	VPACX	Vanguard Pacific Stock	Pair Corr
0.78	VPKIX	Vanguard Pacific Stock	Pair Corr
0.72	VRTPX	Vanguard Reit Ii	Pair Corr
0.97	VAIPX	Vanguard Inflation-protec	Pair Corr
0.96	VSCSX	Vanguard Short Term	Pair Corr
0.92	VSBIX	Vanguard Short Term	Pair Corr
0.93	VSBSX	Vanguard Short Term	Pair Corr
0.95	VSGDX	Vanguard Short Term	Pair Corr
0.95	VSGBX	Vanguard Short Term	Pair Corr

Moving against Vanguard Mutual Fund

0.66	NAESX	Vanguard Small Cap	Pair Corr
0.65	VSCIX	Vanguard Small Cap	Pair Corr
0.65	VSCPX	Vanguard Small Cap	Pair Corr
0.48	VMNFX	Vanguard Market Neutral	Pair Corr
0.47	VMNIX	Vanguard Market Neutral	Pair Corr
0.43	VQNPX	Vanguard Growth And	Pair Corr
0.73	VSMVX	Vanguard Sp Small	Pair Corr
0.7	VSGAX	Vanguard Small Cap	Pair Corr
0.7	VSGIX	Vanguard Small Cap	Pair Corr
0.7	VSMSX	Vanguard Sp Small	Pair Corr
0.65	VSMAX	Vanguard Small Cap	Pair Corr
0.64	VSEMX	Vanguard Extended Market	Pair Corr
0.64	VSPMX	Vanguard Sp Mid	Pair Corr
0.59	VSIAX	Vanguard Small Cap	Pair Corr
0.59	VSIIX	Vanguard Small Cap	Pair Corr
0.59	VSTCX	Vanguard Strategic	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX
VMIAX		0.21	0.21	0.41	0.91	0.33	0.47	0.47	0.36	VMIAX
VMLUX	0.21		1.0	0.89	0.44	0.77	-0.39	-0.4	0.89	VMLUX
VMLTX	0.21	1.0		0.89	0.44	0.77	-0.39	-0.4	0.89	VMLTX
VMNVX	0.41	0.89	0.89		0.56	0.88	-0.35	-0.35	0.93	VMNVX
VVIAX	0.91	0.44	0.44	0.56		0.45	0.33	0.33	0.53	VVIAX
VMMSX	0.33	0.77	0.77	0.88	0.45		-0.49	-0.49	0.94	VMMSX
VMNIX	0.47	-0.39	-0.39	-0.35	0.33	-0.49		1.0	-0.4	VMNIX
VMNFX	0.47	-0.4	-0.4	-0.35	0.33	-0.49	1.0		-0.4	VMNFX
VDVIX	0.36	0.89	0.89	0.93	0.53	0.94	-0.4	-0.4		VDVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX

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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

VMLTX	+ 1.0	VMLUX
VMNFX	+ 1.0	VMNIX
VDVIX	+ 0.94	VMMSX
VDVIX	+ 0.93	VMNVX
VVIAX	+ 0.91	VMIAX
VMNVX	+ 0.89	VMLUX

High negative correlations

VMNFX	- 0.49	VMMSX
VMNIX	- 0.49	VMMSX
VDVIX	- 0.4	VMNFX
VDVIX	- 0.4	VMNIX
VMNFX	- 0.4	VMLTX
VMNFX	- 0.4	VMLUX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Total 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 Total'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	0.82	(0.03)	0.00	(0.10)	0.00	0.00	1.65	(1.95)	5.09
VMLUX	0.08	0.00	0.44	0.09	0.00	(0.12)	0.18	(0.18)	0.56
VMLTX	0.08	0.00	0.44	0.09	0.00	(0.12)	0.18	(0.18)	0.56
VMNVX	0.46	0.03	0.09	0.01	0.72	(0.47)	0.97	(0.65)	3.28
VVIAX	0.65	0.03	0.00	(0.03)	0.00	0.00	1.21	(1.23)	3.41
VMMSX	0.77	0.08	0.13	0.11	0.85	(0.90)	1.61	(1.60)	5.75
VMNIX	0.36	(0.02)	0.00	(0.19)	0.00	0.00	0.85	(0.67)	2.04
VMNFX	0.36	(0.02)	0.00	(0.19)	0.00	0.00	0.90	(0.69)	1.96
VDVIX	0.66	0.12	0.15	0.13	0.76	(0.79)	1.58	(1.17)	4.64

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