Vanguard Commodity Correlations

VCMDX Fund

USD 27.24 0.20 0.74%

The current 90-days correlation between Vanguard Commodity and Vanguard Energy Index is -0.06 (i.e., Good diversification). The correlation of Vanguard Commodity 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 Commodity Correlation With Market

Significant diversification

The correlation between Vanguard Commodity Strategy and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Commodity Strategy 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 Commodity Strategy. 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 national income and product accounts.

Moving against Vanguard Mutual Fund

0.55	VMNIX	Vanguard Market Neutral	Pair Corr
0.55	VMNFX	Vanguard Market Neutral	Pair Corr
0.33	VNYUX	Vanguard New York	Pair Corr
0.39	VPAIX	Vanguard Pennsylvania	Pair Corr
0.37	VPALX	Vanguard Pennsylvania	Pair Corr

Related Correlations Analysis

	VENAX	VMNFX	VCSAX	VASFX	VUIAX
VENAX		-0.35	-0.38	0.0	0.24	VENAX
VMNFX	-0.35		0.46	0.0	-0.02	VMNFX
VCSAX	-0.38	0.46		0.0	0.24	VCSAX
VASFX	0.0	0.0	0.0		0.0	VASFX
VUIAX	0.24	-0.02	0.24	0.0		VUIAX
	VENAX	VMNFX	VCSAX	VASFX	VUIAX

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

VCSAX	+ 0.46	VMNFX
VUIAX	+ 0.24	VENAX
VUIAX	+ 0.24	VCSAX
VASFX	+ 0.0	VENAX
VASFX	+ 0.0	VMNFX
VASFX	+ 0.0	VCSAX

High negative correlations

VCSAX	- 0.38	VENAX
VMNFX	- 0.35	VENAX
VUIAX	- 0.02	VMNFX
VUIAX	- 0.0	VASFX
VASFX	- 0.0	VCSAX
VASFX	- 0.0	VMNFX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Commodity 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 Commodity'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
VENAX	0.92	0.00	(0.05)	0.06	1.02	(1.00)	1.77	(1.83)	4.55
VMNFX	0.37	0.02	(0.09)	0.46	0.39	(0.41)	0.88	(0.65)	1.92
VCSAX	0.51	(0.01)	(0.07)	0.04	0.65	(0.49)	1.06	(1.14)	2.73
VASFX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VUIAX	0.66	0.10	0.03	(18.19)	0.85	(0.64)	1.27	(1.43)	3.32

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