Vanguard Total Correlations

VGTSX Fund

USD 19.21 0.46 2.45%

The current 90-days correlation between Vanguard Total Inter and Intal High Relative is 0.98 (i.e., Almost no diversification). The correlation of Vanguard Total 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 Total Correlation With Market

Very poor diversification

The correlation between Vanguard Total International and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total International 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 Total International. 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 state.

Moving together with VANGUARD Mutual Fund

0.67	VMLUX	Vanguard Limited Term	Pair Corr
0.67	VMLTX	Vanguard Limited Term	Pair Corr
0.9	VMNVX	Vanguard Global Minimum	Pair Corr
0.98	VMMSX	Vanguard Emerging Markets	Pair Corr
0.86	VMSIX	Vanguard Multi Sector	Pair Corr
0.9	VMVFX	Vanguard Global Minimum	Pair Corr
0.69	VMVLX	Vanguard Mega Cap	Pair Corr
0.94	VPADX	Vanguard Pacific Stock	Pair Corr
0.94	VPACX	Vanguard Pacific Stock	Pair Corr
0.94	VPKIX	Vanguard Pacific Stock	Pair Corr
0.81	VRTPX	Vanguard Reit Ii	Pair Corr
0.8	VAGVX	Vanguard Advice Select	Pair Corr
0.76	VAIGX	Vanguard Advice Select	Pair Corr
0.77	VSCGX	Vanguard Lifestrategy	Pair Corr

Moving against VANGUARD Mutual Fund

0.38	VMNIX	Vanguard Market Neutral	Pair Corr
0.36	VMNFX	Vanguard Market Neutral	Pair Corr

Related Correlations Analysis

	DIHRX	AQRRX	TRRJX	FYAIX	AHYMX	PBHAX
DIHRX		0.72	0.61	0.68	0.64	0.79	DIHRX
AQRRX	0.72		0.91	0.87	0.69	0.85	AQRRX
TRRJX	0.61	0.91		0.94	0.59	0.81	TRRJX
FYAIX	0.68	0.87	0.94		0.71	0.91	FYAIX
AHYMX	0.64	0.69	0.59	0.71		0.89	AHYMX
PBHAX	0.79	0.85	0.81	0.91	0.89		PBHAX
	DIHRX	AQRRX	TRRJX	FYAIX	AHYMX	PBHAX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between VANGUARD Mutual Fund performing well and Vanguard Total 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 Total'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
DIHRX	0.85	0.10	0.09	0.06	1.34	(0.90)	1.73	(1.58)	7.94
AQRRX	0.69	0.01	0.00	(0.06)	0.00	0.00	1.02	(2.09)	6.93
TRRJX	0.78	0.00	0.00	(0.08)	0.00	0.00	1.24	(1.81)	8.11
FYAIX	0.33	(0.02)	0.00	(0.16)	0.00	0.00	0.43	(0.86)	4.34
AHYMX	0.24	(0.06)	0.00	0.65	0.00	0.00	0.33	(1.00)	1.96
PBHAX	0.19	(0.03)	0.00	(0.39)	0.00	0.00	0.22	(0.42)	2.11

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