Vanguard Small Correlations

VSMAX Fund

USD 117.47 1.04 0.88%

The current 90-days correlation between Vanguard Small Cap and Vanguard Mid Cap Index is -0.17 (i.e., Good diversification). The correlation of Vanguard Small 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 Correlation With Market

Very good diversification

The correlation between Vanguard Small Cap Index and DJI is -0.23 (i.e., Very good 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 nation.

Moving together with Vanguard Mutual Fund

1.0	VSCIX	Vanguard Small Cap	Pair Corr
1.0	VSCPX	Vanguard Small Cap	Pair Corr
1.0	NAESX	Vanguard Small Cap	Pair Corr
0.99	FSSNX	Fidelity Small Cap	Pair Corr
1.0	DFSTX	Us Small Cap	Pair Corr
0.85	PRVIX	T Rowe Price	Pair Corr
0.99	TRZVX	T Rowe Price	Pair Corr
0.63	CAT	Caterpillar	Pair Corr
0.63	INTC	Intel	Pair Corr
0.61	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.61	AA	Alcoa Corp	Pair Corr
0.65	CVX	Chevron Corp Earnings Call This Week	Pair Corr

Moving against Vanguard Mutual Fund

0.69	XNBHX	Neuberger Berman Int	Pair Corr
0.65	XDSMX	Dreyfus Strategic	Pair Corr
0.51	XNXJX	Nuveen New Jersey	Pair Corr

Related Correlations Analysis

	VIMAX	VFIAX	VEMAX	VGSLX	VTIAX
VIMAX		0.99	0.84	0.61	0.96	VIMAX
VFIAX	0.99		0.86	0.62	0.97	VFIAX
VEMAX	0.84	0.86		0.74	0.82	VEMAX
VGSLX	0.61	0.62	0.74		0.6	VGSLX
VTIAX	0.96	0.97	0.82	0.6		VTIAX
	VIMAX	VFIAX	VEMAX	VGSLX	VTIAX

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Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Small 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'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
VIMAX	0.55	0.03	(0.04)	0.27	0.51	(0.63)	1.10	(0.83)	4.56
VFIAX	0.53	0.05	(0.01)	0.31	0.08	(0.64)	1.12	(0.79)	4.88
VEMAX	0.46	0.21	(0.06)	(3.04)	0.00	(0.53)	1.22	(0.90)	3.87
VGSLX	0.57	0.13	(0.15)	(0.42)	0.77	(0.57)	1.42	(1.21)	4.43
VTIAX	0.45	0.05	(0.07)	0.32	0.26	(0.50)	1.07	(0.86)	3.10

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