Vanguard Total Correlations

VSTSX Fund

USD 325.72 0.97 0.30%

The current 90-days correlation between Vanguard Total Stock and Icon Financial Fund is 0.06 (i.e., Significant 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

Significant diversification

The correlation between Vanguard Total Stock and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total Stock 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 Stock. 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 main economic indicators.

Moving together with Vanguard Mutual Fund

0.61	VPMAX	Vanguard Primecap	Pair Corr
0.72	VSCGX	Vanguard Lifestrategy	Pair Corr
0.74	VASGX	Vanguard Lifestrategy	Pair Corr
0.86	VSMPX	Vanguard Total Stock	Pair Corr
0.74	VSVNX	Vanguard Target Reti	Pair Corr
0.74	VBINX	Vanguard Balanced Index	Pair Corr
0.83	VTIAX	Vanguard Total Inter	Pair Corr
0.82	VTMGX	Vanguard Developed	Pair Corr
0.82	VTMNX	Vanguard Developed	Pair Corr
0.68	VTPSX	Vanguard Total Inter	Pair Corr
1.0	VTSAX	Vanguard Total Stock	Pair Corr
0.86	VTSMX	Vanguard Total Stock	Pair Corr
0.74	VTWIX	Vanguard Total World	Pair Corr
0.8	VDEQX	Vanguard Diversified	Pair Corr
0.74	VFFVX	Vanguard Target Reti	Pair Corr
0.71	VFFSX	Vanguard 500 Index	Pair Corr
0.87	VFIAX	Vanguard 500 Index	Pair Corr

Moving against Vanguard Mutual Fund

0.38

VGSNX

Vanguard Reit Index

Pair Corr

Related Correlations Analysis

	ICFAX	FIKBX	GCFSX	PGFMX	SBFAX	MSVIX
ICFAX		0.72	0.81	0.43	0.13	0.73	ICFAX
FIKBX	0.72		0.77	0.0	0.36	0.82	FIKBX
GCFSX	0.81	0.77		0.33	0.04	0.64	GCFSX
PGFMX	0.43	0.0	0.33		-0.14	0.31	PGFMX
SBFAX	0.13	0.36	0.04	-0.14		0.29	SBFAX
MSVIX	0.73	0.82	0.64	0.31	0.29		MSVIX
	ICFAX	FIKBX	GCFSX	PGFMX	SBFAX	MSVIX

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

MSVIX	+ 0.82	FIKBX
GCFSX	+ 0.81	ICFAX
GCFSX	+ 0.77	FIKBX
MSVIX	+ 0.73	ICFAX
FIKBX	+ 0.72	ICFAX
MSVIX	+ 0.64	GCFSX

High negative correlations

SBFAX	- 0.14	PGFMX
PGFMX	- 0.0	FIKBX

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
ICFAX	0.90	0.12	0.17	0.18	0.53	(1.34)	1.58	(1.16)	14.10
FIKBX	0.69	(0.03)	(0.03)	0.04	1.01	(0.74)	1.55	(1.65)	5.55
GCFSX	0.55	0.03	0.02	0.10	0.57	(0.66)	1.39	(1.04)	3.52
PGFMX	0.30	0.02	(0.09)	0.28	0.29	(0.34)	0.63	(0.62)	1.60
SBFAX	0.86	(0.28)	0.00	(0.13)	0.00	0.00	1.56	(2.26)	4.82
MSVIX	0.87	(0.07)	(0.05)	0.01	1.05	(0.97)	1.72	(1.56)	4.74

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