Vanguard Small-cap Correlations

VSIAX Fund

USD 78.91 0.62 0.78%

The current 90-days correlation between Vanguard Small Cap and Franklin Mutual Global is 0.9 (i.e., Almost no 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 Value and NYA is 0.92 (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 Value and NYA 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 Value. 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

0.9	VMIAX	Vanguard Materials Index	Pair Corr
0.9	VMNVX	Vanguard Global Minimum	Pair Corr
0.98	VMVAX	Vanguard Mid Cap	Pair Corr
0.98	VMVIX	Vanguard Mid Cap	Pair Corr
0.9	VMVFX	Vanguard Global Minimum	Pair Corr
0.77	VPADX	Vanguard Pacific Stock	Pair Corr
0.77	VPACX	Vanguard Pacific Stock	Pair Corr
0.76	VPCCX	Vanguard Primecap	Pair Corr
0.72	VPMCX	Vanguard Primecap	Pair Corr
0.72	VPMAX	Vanguard Primecap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.77	VQNPX	Vanguard Growth And	Pair Corr
0.69	VRTPX	Vanguard Reit Ii	Pair Corr
0.81	VAGVX	Vanguard Advice Select	Pair Corr
0.63	VAIPX	Vanguard Inflation-protec	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.82	VSCGX	Vanguard Lifestrategy	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.62	VSCSX	Vanguard Short Term	Pair Corr
0.94	VSEMX	Vanguard Extended Market	Pair Corr
0.98	VSEQX	Vanguard Strategic Equity	Pair Corr
0.82	VASGX	Vanguard Lifestrategy	Pair Corr
0.85	VSGAX	Vanguard Small Cap	Pair Corr
0.78	VASIX	Vanguard Lifestrategy	Pair Corr
0.91	VASVX	Vanguard Selected Value	Pair Corr
0.85	VSGIX	Vanguard Small Cap	Pair Corr

Related Correlations Analysis

	TEDIX	ABHYX	VIASP	RRTLX	XTWO	KNF	AMPL	SCAXX	RWAYL	FBKTX
TEDIX		0.61	0.59	0.86	0.62	-0.11	0.08	-0.05	0.41	0.87	TEDIX
ABHYX	0.61		0.47	0.77	0.75	-0.37	0.49	-0.12	0.44	0.72	ABHYX
VIASP	0.59	0.47		0.78	0.7	-0.63	-0.14	0.48	0.83	0.73	VIASP
RRTLX	0.86	0.77	0.78		0.84	-0.44	0.17	0.02	0.64	0.98	RRTLX
XTWO	0.62	0.75	0.7	0.84		-0.59	0.18	0.19	0.65	0.76	XTWO
KNF	-0.11	-0.37	-0.63	-0.44	-0.59		-0.22	-0.43	-0.7	-0.35	KNF
AMPL	0.08	0.49	-0.14	0.17	0.18	-0.22		-0.41	-0.08	0.18	AMPL
SCAXX	-0.05	-0.12	0.48	0.02	0.19	-0.43	-0.41		0.63	-0.08	SCAXX
RWAYL	0.41	0.44	0.83	0.64	0.65	-0.7	-0.08	0.63		0.56	RWAYL
FBKTX	0.87	0.72	0.73	0.98	0.76	-0.35	0.18	-0.08	0.56		FBKTX
	TEDIX	ABHYX	VIASP	RRTLX	XTWO	KNF	AMPL	SCAXX	RWAYL	FBKTX

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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

FBKTX	+ 0.98	RRTLX
FBKTX	+ 0.87	TEDIX
RRTLX	+ 0.86	TEDIX
XTWO	+ 0.84	RRTLX
RWAYL	+ 0.83	VIASP
RRTLX	+ 0.78	VIASP

High negative correlations

RWAYL	- 0.7	KNF
KNF	- 0.63	VIASP
KNF	- 0.59	XTWO
KNF	- 0.44	RRTLX
SCAXX	- 0.43	KNF
SCAXX	- 0.41	AMPL

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
TEDIX	0.47	0.01	0.02	0.02	0.63	(0.46)	1.03	(1.14)	2.69
ABHYX	0.16	0.00	(0.03)	0.01	0.17	(0.21)	0.34	(0.35)	1.03
VIASP	1.27	0.37	0.17	0.26	1.70	(1.35)	3.96	(2.60)	13.41
RRTLX	0.27	0.01	0.02	0.03	0.27	(0.33)	0.59	(0.58)	1.36
XTWO	0.10	0.00	(0.06)	(0.03)	0.13	(0.11)	0.16	(0.23)	1.29
KNF	1.34	(0.14)	0.00	(0.09)	0.00	0.00	2.47	(2.91)	8.13
AMPL	6.46	0.18	0.02	(0.13)	8.58	(7.06)	16.83	(11.19)	43.93
SCAXX	0.03	0.01	0.00	(0.17)	0.00	0.00	0.00	0.00	1.01
RWAYL	0.20	0.00	0.03	0.00	0.17	(0.24)	0.37	(0.33)	1.76
FBKTX	0.52	0.03	0.04	0.04	0.57	(0.60)	1.19	(1.07)	2.88

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