Vanguard Developed Correlations

VTMGX Fund

USD 16.80 0.07 0.42%

The current 90-days correlation between Vanguard Developed and Vanguard Emerging Markets is 0.72 (i.e., Poor diversification). The correlation of Vanguard Developed 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 Developed Correlation With Market

Very good diversification

The correlation between Vanguard Developed Markets and DJI is -0.26 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Developed Markets 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 Developed Markets. 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 price.

Moving together with Vanguard Mutual Fund

0.88	VMLUX	Vanguard Limited Term	Pair Corr
0.88	VMLTX	Vanguard Limited Term	Pair Corr
0.95	VMNVX	Vanguard Global Minimum	Pair Corr
0.92	VMMSX	Vanguard Emerging Markets	Pair Corr
0.94	VMSIX	Vanguard Multi Sector	Pair Corr
0.61	VMVLX	Vanguard Mega Cap	Pair Corr
0.92	VPADX	Vanguard Pacific Stock	Pair Corr
0.92	VPACX	Vanguard Pacific Stock	Pair Corr
0.9	VSGBX	Vanguard Short Term	Pair Corr
0.88	VBIMX	Vanguard Intermediate-ter	Pair Corr
0.88	VBILX	Vanguard Intermediate-ter	Pair Corr
0.92	VBIRX	Vanguard Short Term	Pair Corr
0.83	VBLIX	Vanguard Long Term	Pair Corr
0.88	VTBIX	Vanguard Total Bond	Pair Corr
0.88	VTBNX	Vanguard Total Bond	Pair Corr
0.93	VTAPX	Vanguard Short Term	Pair Corr
0.99	VTIAX	Vanguard Total Inter	Pair Corr
0.87	VBTLX	Vanguard Total Bond	Pair Corr

Moving against Vanguard Mutual Fund

0.54	VSCIX	Vanguard Small Cap	Pair Corr
0.54	VSCPX	Vanguard Small Cap	Pair Corr
0.51	VSEMX	Vanguard Extended Market	Pair Corr
0.51	VSEQX	Vanguard Strategic Equity	Pair Corr
0.45	VMNFX	Vanguard Market Neutral	Pair Corr
0.44	VMNIX	Vanguard Market Neutral	Pair Corr
0.53	VSGAX	Vanguard Small Cap	Pair Corr
0.48	VSIIX	Vanguard Small Cap	Pair Corr
0.48	VSMAX	Vanguard Small Cap	Pair Corr
0.42	VSIAX	Vanguard Small Cap	Pair Corr
0.39	VSMPX	Vanguard Total Stock	Pair Corr
0.39	VSTSX	Vanguard Total Stock	Pair Corr
0.32	VTSAX	Vanguard Total Stock	Pair Corr
0.32	VTSMX	Vanguard Total Stock	Pair Corr

Related Correlations Analysis

	VEMAX	VTMSX	VSMAX	VVIAX	VGSLX
VEMAX		-0.56	-0.44	0.33	0.6	VEMAX
VTMSX	-0.56		0.95	0.26	-0.27	VTMSX
VSMAX	-0.44	0.95		0.44	-0.08	VSMAX
VVIAX	0.33	0.26	0.44		0.74	VVIAX
VGSLX	0.6	-0.27	-0.08	0.74		VGSLX
	VEMAX	VTMSX	VSMAX	VVIAX	VGSLX

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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

VSMAX	+ 0.95	VTMSX
VGSLX	+ 0.74	VVIAX
VGSLX	+ 0.6	VEMAX
VVIAX	+ 0.44	VSMAX
VVIAX	+ 0.33	VEMAX
VVIAX	+ 0.26	VTMSX

High negative correlations

VTMSX	- 0.56	VEMAX
VSMAX	- 0.44	VEMAX
VGSLX	- 0.27	VTMSX
VGSLX	- 0.08	VSMAX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Developed 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 Developed'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
VEMAX	0.67	0.03	0.03	(1.45)	0.93	(0.64)	1.34	(1.59)	5.41
VTMSX	0.86	(0.12)	0.00	(0.11)	0.00	0.00	1.61	(2.05)	4.35
VSMAX	0.92	(0.13)	0.00	0.87	0.00	0.00	1.47	(2.44)	4.29
VVIAX	0.65	0.01	0.01	(0.05)	0.82	(0.69)	1.21	(1.23)	3.41
VGSLX	0.96	(0.04)	0.00	0.13	0.00	0.00	1.72	(2.13)	4.60

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