Vanguard Treasury Correlations

VUSXX Fund

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The current 90-days correlation between Vanguard Treasury Money and Neuberger Berman High is 0.14 (i.e., Average diversification). The correlation of Vanguard Treasury 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 Treasury Correlation With Market

Good diversification

The correlation between Vanguard Treasury Money and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Treasury Money 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 Treasury Money. 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

0.68	FTCAX	Templeton Strained Bond	Pair Corr
0.86	PYAIX	Payden Absolute Return	Pair Corr
0.85	PYARX	Payden Absolute Return	Pair Corr
0.66	PRCOX	T Rowe Price	Pair Corr
0.72	TCHTX	Cleartrack 2020 Class	Pair Corr
0.89	MUIIX	Ultra Short Income	Pair Corr
0.83	VIGAX	Vanguard Growth Index	Pair Corr
0.82	DRGTX	Allianzgi Technology	Pair Corr
0.88	FOCPX	Fidelity Otc Portfolio	Pair Corr
0.76	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.8	LOTCX	Locorr Market Trend	Pair Corr
0.92	SIGVX	Ridgeworth Seix Gove	Pair Corr

Moving against Vanguard Money Market Fund

0.8	USPSX	Profunds Ultrashort	Pair Corr
0.79	USPIX	Profunds Ultrashort	Pair Corr
0.57	PDI	Pimco Dynamic Income	Pair Corr

Related Correlations Analysis

	NHS	AQUI	LBHIX	MSTSX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF	RWAYL
NHS		0.52	-0.11	0.59	-0.85	0.4	-0.75	-0.76	0.75	-0.6	NHS
AQUI	0.52		0.25	0.96	-0.76	0.76	-0.87	-0.16	0.48	-0.14	AQUI
LBHIX	-0.11	0.25		0.32	0.2	0.69	-0.04	0.51	-0.24	0.71	LBHIX
MSTSX	0.59	0.96	0.32		-0.78	0.86	-0.9	-0.19	0.54	-0.13	MSTSX
VIASP	-0.85	-0.76	0.2	-0.78		-0.48	0.93	0.63	-0.79	0.6	VIASP
RRTLX	0.4	0.76	0.69	0.86	-0.48		-0.67	0.05	0.34	0.25	RRTLX
OSHDF	-0.75	-0.87	-0.04	-0.9	0.93	-0.67		0.42	-0.68	0.35	OSHDF
70082LAB3	-0.76	-0.16	0.51	-0.19	0.63	0.05	0.42		-0.73	0.74	70082LAB3
SITKF	0.75	0.48	-0.24	0.54	-0.79	0.34	-0.68	-0.73		-0.61	SITKF
RWAYL	-0.6	-0.14	0.71	-0.13	0.6	0.25	0.35	0.74	-0.61		RWAYL
	NHS	AQUI	LBHIX	MSTSX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF	RWAYL

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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

MSTSX	+ 0.96	AQUI
OSHDF	+ 0.93	VIASP
RRTLX	+ 0.86	MSTSX
RRTLX	+ 0.76	AQUI
SITKF	+ 0.75	NHS
RWAYL	+ 0.74	70082LAB3

High negative correlations

OSHDF	- 0.9	MSTSX
OSHDF	- 0.87	AQUI
VIASP	- 0.85	NHS
SITKF	- 0.79	VIASP
VIASP	- 0.78	MSTSX
VIASP	- 0.76	AQUI

Risk-Adjusted Indicators

There is a big difference between Vanguard Money Market Fund performing well and Vanguard Treasury 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 Treasury'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
NHS	0.62	(0.13)	0.00	(2.17)	0.00	0.00	1.12	(1.56)	3.80
AQUI	2.79	(1.43)	0.00	4.25	0.00	0.00	0.00	0.00	93.33
LBHIX	0.11	(0.01)	0.00	(0.55)	0.00	0.00	0.24	(0.24)	0.94
MSTSX	0.58	(0.20)	0.00	(1.04)	0.00	0.00	0.78	(1.18)	7.08
VIASP	0.64	0.17	0.25	(2.90)	0.47	(0.75)	1.98	(1.18)	5.04
RRTLX	0.25	(0.04)	0.00	(0.37)	0.00	0.00	0.49	(0.57)	2.04
OSHDF	46.68	23.89	0.00	(1.72)	0.00	0.00	0.00	0.00	1,329
70082LAB3	0.65	0.11	0.12	0.77	0.79	(0.80)	1.78	(0.74)	6.86
SITKF	4.91	(0.35)	0.00	(0.33)	0.00	0.00	12.00	(9.37)	31.51
RWAYL	0.15	0.01	0.07	0.27	0.19	(0.19)	0.36	(0.28)	1.49

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