Vanguard Small-cap Correlations
| NAESX Fund | USD 103.80 1.56 1.53% |
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Small-cap moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Small Cap Index moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Almost no diversification
The correlation between Vanguard Small Cap Index and NYA is 0.91 (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 NYA in the same portfolio, assuming nothing else is changed.
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The ability to find closely correlated positions to Vanguard Small-cap could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vanguard Small-cap when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Vanguard Small-cap - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Vanguard Small Cap Index to buy it.
Moving together with Vanguard Mutual Fund
| 0.89 | VMIAX | Vanguard Materials Index | PairCorr |
| 0.69 | VMLUX | Vanguard Limited Term | PairCorr |
| 0.69 | VMLTX | Vanguard Limited Term | PairCorr |
| 0.95 | VMNVX | Vanguard Global Minimum | PairCorr |
| 0.85 | VMMSX | Vanguard Emerging Markets | PairCorr |
| 0.86 | VMSIX | Vanguard Multi Sector | PairCorr |
| 0.95 | VMVAX | Vanguard Mid Cap | PairCorr |
| 0.95 | VMVIX | Vanguard Mid Cap | PairCorr |
| 0.95 | VMVFX | Vanguard Global Minimum | PairCorr |
| 0.93 | VMVLX | Vanguard Mega Cap | PairCorr |
| 0.96 | VPADX | Vanguard Pacific Stock | PairCorr |
| 0.96 | VPACX | Vanguard Pacific Stock | PairCorr |
| 0.97 | VPCCX | Vanguard Primecap | PairCorr |
Related Correlations Analysis
| 0.98 | 0.91 | 0.4 | 0.98 | VIMAX | ||
| 0.98 | 0.93 | 0.3 | 0.97 | VFIAX | ||
| 0.91 | 0.93 | 0.19 | 0.95 | VEMAX | ||
| 0.4 | 0.3 | 0.19 | 0.36 | VGSLX | ||
| 0.98 | 0.97 | 0.95 | 0.36 | 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 | 0.59 | (0.03) | (0.02) | 0.05 | 0.75 | 1.27 | 3.06 | |||
| VFIAX | 0.58 | (0.01) | (0.01) | 0.07 | 0.61 | 1.13 | 3.56 | |||
| VEMAX | 0.50 | 0.02 | (0.02) | 0.11 | 0.61 | 0.98 | 3.81 | |||
| VGSLX | 0.91 | (0.19) | 0.00 | (0.05) | 0.00 | 1.49 | 6.62 | |||
| VTIAX | 0.47 | (0.01) | (0.03) | 0.07 | 0.53 | 1.02 | 2.79 |
Be your own money manager
Our tools can tell you how much better you can do entering a position in Vanguard Small-cap without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.Did you try this?
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Already Invested in Vanguard Small Cap Index?
The danger of trading Vanguard Small Cap Index is mainly related to its market volatility and Mutual Fund specific events. As an investor, you must understand the concept of risk-adjusted return before you start trading. The most common way to measure the risk of Vanguard Small-cap is by using the Sharpe ratio. The ratio expresses how much excess return you acquire for the extra volatility you endure for holding a more risker asset than Vanguard Small-cap. The Sharpe ratio is calculated by using standard deviation and excess return to determine reward per unit of risk. To understand how volatile Vanguard Small Cap is, you must compare it to a benchmark. Traditionally, the risk-free rate of return is the rate of return on the shortest-dated U.S. Treasury, such as a 3-year bond.
Check out Correlation Analysis 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 tightly coupled with the direction of predictive economic indicators such as signals in state. You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.