Vanguard Commodity Correlations

VCMDX Fund

USD 28.07 0.14 0.50%

The current 90-days correlation between Vanguard Commodity and Vanguard Energy Index is 0.31 (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 -0.37 (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.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Commodity Strategy. 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 unemployment.

Moving together with Vanguard Mutual Fund

0.65	VMSIX	Vanguard Multi Sector	Pair Corr
0.62	VMVLX	Vanguard Mega Cap	Pair Corr
0.64	VPACX	Vanguard Pacific Stock	Pair Corr
0.65	VPCCX	Vanguard Primecap	Pair Corr
0.68	VPMCX	Vanguard Primecap	Pair Corr
0.66	VPMAX	Vanguard Primecap	Pair Corr
0.61	VAGVX	Vanguard Advice Select	Pair Corr
0.65	VSCGX	Vanguard Lifestrategy	Pair Corr
0.68	VSCSX	Vanguard Short Term	Pair Corr
0.64	VSBIX	Vanguard Short Term	Pair Corr

Related Correlations Analysis

	VENAX	VMNFX	VCSAX	VASFX	VUIAX
VENAX		0.19	-0.19	0.0	0.15	VENAX
VMNFX	0.19		0.22	0.0	-0.34	VMNFX
VCSAX	-0.19	0.22		0.0	0.26	VCSAX
VASFX	0.0	0.0	0.0		0.0	VASFX
VUIAX	0.15	-0.34	0.26	0.0		VUIAX
	VENAX	VMNFX	VCSAX	VASFX	VUIAX

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

VUIAX	+ 0.26	VCSAX
VCSAX	+ 0.22	VMNFX
VMNFX	+ 0.19	VENAX
VUIAX	+ 0.15	VENAX
VASFX	+ 0.0	VENAX
VASFX	+ 0.0	VMNFX

High negative correlations

VUIAX	- 0.34	VMNFX
VCSAX	- 0.19	VENAX
VUIAX	- 0.0	VASFX
VASFX	- 0.0	VCSAX
VASFX	- 0.0	VMNFX
VASFX	- 0.0	VENAX

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	1.00	0.07	(0.05)	0.39	1.01	(1.09)	1.97	(1.87)	5.17
VMNFX	0.31	(0.02)	0.00	(0.48)	0.00	0.00	0.61	(0.60)	1.78
VCSAX	0.53	(0.08)	(0.31)	0.05	0.63	(0.56)	1.06	(1.15)	3.27
VASFX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VUIAX	0.64	0.10	(0.10)	0.83	0.80	(0.65)	1.27	(1.43)	4.04

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

2025 Macroaxis LLC