Vanguard Commodity Correlations
| VCMDX Fund | USD 28.09 0.02 0.07% |
The current 90-days correlation between Vanguard Commodity and Vanguard Energy Index is 0.35 (i.e., Weak diversification). The correlation of Vanguard Commodity 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 Commodity Correlation With Market
Very good diversification
The correlation between Vanguard Commodity Strategy and DJI is -0.36 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Commodity Strategy and DJI in the same portfolio, assuming nothing else is changed.
Vanguard |
Moving together with Vanguard Mutual Fund
| 0.71 | VMLUX | Vanguard Limited Term | PairCorr |
| 0.7 | VMLTX | Vanguard Limited Term | PairCorr |
| 0.67 | VMMSX | Vanguard Emerging Markets | PairCorr |
| 0.7 | VMSIX | Vanguard Multi Sector | PairCorr |
| 0.66 | VPADX | Vanguard Pacific Stock | PairCorr |
| 0.66 | VPACX | Vanguard Pacific Stock | PairCorr |
| 0.63 | VPCCX | Vanguard Primecap | PairCorr |
| 0.65 | VPKIX | Vanguard Pacific Stock | PairCorr |
| 0.63 | VPMCX | Vanguard Primecap | PairCorr |
| 0.63 | VPMAX | Vanguard Primecap | PairCorr |
| 0.64 | VAGVX | Vanguard Advice Select | PairCorr |
| 0.66 | VSCGX | Vanguard Lifestrategy | PairCorr |
| 0.69 | VSCSX | Vanguard Short Term | PairCorr |
| 0.67 | VSBIX | Vanguard Short Term | PairCorr |
| 0.63 | VSBSX | Vanguard Short Term | PairCorr |
Moving against Vanguard Mutual Fund
| 0.33 | VNYTX | Vanguard New York | PairCorr |
| 0.32 | VPALX | Vanguard Pennsylvania | PairCorr |
| 0.32 | VPAIX | Vanguard Pennsylvania | PairCorr |
Related Correlations Analysis
| 0.06 | -0.15 | 0.0 | 0.32 | VENAX | ||
| 0.06 | 0.28 | 0.0 | -0.29 | VMNFX | ||
| -0.15 | 0.28 | 0.0 | 0.22 | VCSAX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | VASFX | ||
| 0.32 | -0.29 | 0.22 | 0.0 | VUIAX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Vanguard Mutual Fund performing well and Vanguard Commodity 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 Commodity'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VENAX | 0.97 | 0.06 | (0.06) | 0.36 | 1.05 | 1.79 | 5.07 | |||
| VMNFX | 0.31 | (0.04) | 0.00 | (0.14) | 0.00 | 0.59 | 1.78 | |||
| VCSAX | 0.52 | 0.04 | (0.27) | (0.17) | 0.64 | 1.06 | 3.27 | |||
| VASFX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| VUIAX | 0.64 | 0.05 | (0.09) | 0.34 | 0.83 | 1.27 | 4.04 |