Vanguard Small-cap Correlations

VSMAX Fund

USD 96.96 2.31 2.33%

The current 90-days correlation between Vanguard Small Cap and Vanguard Mid Cap Index is -0.18 (i.e., Good 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

Almost no diversification

The correlation between Vanguard Small Cap Index and DJI is 0.9 (i.e., Almost no 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

0.95	VMIAX	Vanguard Materials Index	Pair Corr
0.94	VMVAX	Vanguard Mid Cap	Pair Corr
0.94	VMVIX	Vanguard Mid Cap	Pair Corr
0.8	VMVLX	Vanguard Mega Cap	Pair Corr
0.64	VNYTX	Vanguard New York	Pair Corr
0.85	VPCCX	Vanguard Primecap	Pair Corr
0.93	VPMCX	Vanguard Primecap	Pair Corr
0.93	VPMAX	Vanguard Primecap	Pair Corr
1.0	NAESX	Vanguard Small Cap	Pair Corr
0.87	VQNPX	Vanguard Growth And	Pair Corr
0.61	VRTPX	Vanguard Reit Ii	Pair Corr
0.79	VADGX	Vanguard Advice Select	Pair Corr
0.72	VAGVX	Vanguard Advice Select	Pair Corr
0.67	VAIGX	Vanguard Advice Select	Pair Corr
1.0	VSCIX	Vanguard Small Cap	Pair Corr
0.86	VSCGX	Vanguard Lifestrategy	Pair Corr
1.0	VSCPX	Vanguard Small Cap	Pair Corr
0.86	VSEMX	Vanguard Extended Market	Pair Corr
1.0	VSEQX	Vanguard Strategic Equity	Pair Corr
0.93	VASGX	Vanguard Lifestrategy	Pair Corr

Moving against Vanguard Mutual Fund

0.96	VSBIX	Vanguard Short Term	Pair Corr
0.96	VSBSX	Vanguard Short Term	Pair Corr
0.93	VSGDX	Vanguard Short Term	Pair Corr
0.93	VSGBX	Vanguard Short Term	Pair Corr
0.9	VSIGX	Vanguard Intermediate-ter	Pair Corr
0.78	VSCSX	Vanguard Short Term	Pair Corr
0.57	VSTBX	Vanguard Short Term	Pair Corr
0.48	VAIPX	Vanguard Inflation-protec	Pair Corr

Related Correlations Analysis

	VIMAX	VFIAX	VEMAX	VGSLX	VTIAX
VIMAX		0.82	0.51	0.72	0.37	VIMAX
VFIAX	0.82		0.45	0.63	0.3	VFIAX
VEMAX	0.51	0.45		0.82	0.95	VEMAX
VGSLX	0.72	0.63	0.82		0.77	VGSLX
VTIAX	0.37	0.3	0.95	0.77		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-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
VIMAX	1.06	(0.13)	0.00	1.23	0.00	0.00	1.72	(2.01)	11.16
VFIAX	1.17	(0.25)	0.00	2.47	0.00	0.00	1.77	(2.68)	12.96
VEMAX	0.94	0.07	0.00	(0.05)	0.00	0.00	1.65	(1.88)	7.54
VGSLX	1.06	0.08	0.00	(0.08)	0.00	0.00	1.61	(2.64)	8.33
VTIAX	0.87	0.15	0.13	0.04	1.42	(0.82)	1.80	(2.03)	8.24

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