Vanguard Small-cap Correlations

VSCPX Fund

USD 336.37 0.47 0.14%

The current 90-days correlation between Vanguard Small Cap and Vanguard Materials Index is 0.86 (i.e., Very poor diversification). The correlation of Vanguard Small-cap 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 Small-cap Correlation With Market

Very poor diversification

The correlation between Vanguard Small Cap Index and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap 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 Small Cap 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 american community survey.

Moving together with Vanguard Mutual Fund

0.97	VMIAX	Vanguard Materials Index	Pair Corr
0.92	VMLUX	Vanguard Limited Term	Pair Corr
0.93	VMLTX	Vanguard Limited Term	Pair Corr
0.74	VMNVX	Vanguard Global Minimum	Pair Corr
0.8	VMMSX	Vanguard Emerging Markets	Pair Corr
0.62	VMNIX	Vanguard Market Neutral Potential Growth	Pair Corr
0.79	VMSIX	Vanguard Multi Sector	Pair Corr
0.99	VMVAX	Vanguard Mid Cap	Pair Corr
0.99	VMVIX	Vanguard Mid Cap	Pair Corr
0.71	VMVFX	Vanguard Global Minimum	Pair Corr
0.81	VMVLX	Vanguard Mega Cap	Pair Corr
0.77	VPADX	Vanguard Pacific Stock	Pair Corr
0.91	VPACX	Vanguard Pacific Stock	Pair Corr
0.83	VPCCX	Vanguard Primecap	Pair Corr
0.77	VPKIX	Vanguard Pacific Stock	Pair Corr
0.63	VPMCX	Vanguard Primecap	Pair Corr
0.82	VPMAX	Vanguard Primecap	Pair Corr
1.0	NAESX	Vanguard Small Cap	Pair Corr
0.98	VQNPX	Vanguard Growth And	Pair Corr
0.76	VADGX	Vanguard Advice Select	Pair Corr
0.99	VAGVX	Vanguard Advice Select	Pair Corr
0.93	VAIGX	Vanguard Advice Select	Pair Corr
0.65	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCGX	Vanguard Lifestrategy	Pair Corr
0.82	VSCSX	Vanguard Short Term	Pair Corr
0.84	VSEMX	Vanguard Extended Market	Pair Corr
1.0	VSEQX	Vanguard Strategic Equity	Pair Corr

Related Correlations Analysis

	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX
VMIAX		0.94	0.95	0.75	0.7	0.79	0.62	0.52	0.95	VMIAX
VMLUX	0.94		1.0	0.79	0.69	0.84	0.62	0.52	0.95	VMLUX
VMLTX	0.95	1.0		0.79	0.7	0.84	0.62	0.53	0.95	VMLTX
VMNVX	0.75	0.79	0.79		0.55	0.89	0.72	0.61	0.82	VMNVX
VVIAX	0.7	0.69	0.7	0.55		0.53	0.68	0.62	0.73	VVIAX
VMMSX	0.79	0.84	0.84	0.89	0.53		0.6	0.44	0.81	VMMSX
VMNIX	0.62	0.62	0.62	0.72	0.68	0.6		0.95	0.74	VMNIX
VMNFX	0.52	0.52	0.53	0.61	0.62	0.44	0.95		0.66	VMNFX
VDVIX	0.95	0.95	0.95	0.82	0.73	0.81	0.74	0.66		VDVIX
	VMIAX	VMLUX	VMLTX	VMNVX	VVIAX	VMMSX	VMNIX	VMNFX	VDVIX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small-cap 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 Small-cap'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
VMIAX	0.76	0.12	0.09	0.30	0.66	(0.83)	2.18	(1.37)	4.38
VMLUX	0.07	0.02	(1.07)	1.35	0.00	(0.12)	0.19	(0.09)	0.46
VMLTX	0.07	0.02	(1.07)	1.33	0.00	(0.12)	0.19	(0.09)	0.47
VMNVX	0.41	0.10	(0.09)	(2.18)	0.23	(0.48)	0.79	(0.66)	2.66
VVIAX	0.59	0.02	(0.01)	0.16	0.61	(0.63)	1.55	(1.17)	4.06
VMMSX	0.51	0.21	0.22	0.62	0.00	(0.63)	1.65	(0.71)	3.95
VMNIX	0.31	(0.02)	0.00	(0.26)	0.00	0.00	0.61	(0.53)	1.69
VMNFX	0.31	(0.01)	(0.34)	(0.22)	0.36	(0.36)	0.61	(0.59)	1.68
VDVIX	0.52	0.13	0.07	0.41	0.39	(0.55)	1.33	(1.06)	3.12

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Vanguard Small-cap Correlations

Vanguard Small-cap Correlation With Market

Very poor diversification

Moving together with Vanguard Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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