Vanguard Value Correlations

VVIAX Fund

USD 68.12 0.76 1.13%

The current 90-days correlation between Vanguard Value Index and Vanguard Small Cap Value is -0.1 (i.e., Good diversification). The correlation of Vanguard Value 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 Value Correlation With Market

Poor diversification

The correlation between Vanguard Value Index and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Value Index 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 Value Index. 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 nation.

Moving together with Vanguard Mutual Fund

0.82	VMIAX	Vanguard Materials Index	Pair Corr
0.86	VMVAX	Vanguard Mid Cap	Pair Corr
0.73	VMVIX	Vanguard Mid Cap	Pair Corr
0.98	VMVLX	Vanguard Mega Cap	Pair Corr
0.82	VPCCX	Vanguard Primecap	Pair Corr
0.85	VPMCX	Vanguard Primecap	Pair Corr
0.85	VPMAX	Vanguard Primecap	Pair Corr
0.7	VRTPX	Vanguard Reit Ii	Pair Corr
0.74	VADGX	Vanguard Advice Select	Pair Corr
0.83	VAGVX	Vanguard Advice Select	Pair Corr
0.74	VAIGX	Vanguard Advice Select	Pair Corr

Related Correlations Analysis

	VSIAX	VIGAX	VMVAX	VSMAX	VEMAX
VSIAX		0.93	0.75	0.99	-0.42	VSIAX
VIGAX	0.93		0.68	0.95	-0.37	VIGAX
VMVAX	0.75	0.68		0.72	-0.11	VMVAX
VSMAX	0.99	0.95	0.72		-0.45	VSMAX
VEMAX	-0.42	-0.37	-0.11	-0.45		VEMAX
	VSIAX	VIGAX	VMVAX	VSMAX	VEMAX

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

VSMAX	+ 0.99	VSIAX
VSMAX	+ 0.95	VIGAX
VIGAX	+ 0.93	VSIAX
VMVAX	+ 0.75	VSIAX
VSMAX	+ 0.72	VMVAX
VMVAX	+ 0.68	VIGAX

High negative correlations

VEMAX	- 0.45	VSMAX
VEMAX	- 0.42	VSIAX
VEMAX	- 0.37	VIGAX
VEMAX	- 0.11	VMVAX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Value 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 Value'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
VSIAX	0.80	(0.07)	0.00	1.78	0.00	0.00	1.44	(1.86)	3.80
VIGAX	1.08	(0.15)	0.00	1.27	0.00	0.00	2.28	(2.53)	6.49
VMVAX	0.64	(0.01)	0.00	(0.06)	0.00	0.00	1.15	(1.12)	3.24
VSMAX	0.89	(0.10)	0.00	1.25	0.00	0.00	1.47	(1.84)	4.29
VEMAX	0.68	0.04	0.08	(1.94)	0.90	(0.68)	1.34	(1.59)	5.41

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