Vanguard Global Correlations

VMVFX Fund

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The current 90-days correlation between Vanguard Global Minimum and Vanguard Global Capital is 0.4 (i.e., Very weak diversification). The correlation of Vanguard Global 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 Global Correlation With Market

Poor diversification

The correlation between Vanguard Global Minimum and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Global Minimum 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 Global Minimum. 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 price.

Moving together with Vanguard Mutual Fund

0.84	VMNVX	Vanguard Global Minimum	Pair Corr
0.61	VMMSX	Vanguard Emerging Markets	Pair Corr
0.78	VMSIX	Vanguard Multi Sector	Pair Corr
0.73	VMVAX	Vanguard Mid Cap	Pair Corr
0.73	VMVIX	Vanguard Mid Cap	Pair Corr
0.84	VMVLX	Vanguard Mega Cap	Pair Corr
0.68	VNJUX	Vanguard New Jersey	Pair Corr
0.69	VNJTX	Vanguard New Jersey	Pair Corr
0.69	VNYTX	Vanguard New York	Pair Corr
0.7	VNYUX	Vanguard New York	Pair Corr
0.72	VOHIX	Vanguard Ohio Long	Pair Corr
0.76	VPCCX	Vanguard Primecap	Pair Corr
0.71	VPALX	Vanguard Pennsylvania	Pair Corr
0.71	VPAIX	Vanguard Pennsylvania	Pair Corr
0.63	VPKIX	Vanguard Pacific Stock	Pair Corr
0.8	VPMCX	Vanguard Primecap	Pair Corr
0.75	VPMAX	Vanguard Primecap	Pair Corr
0.71	VQNPX	Vanguard Growth And	Pair Corr
0.76	VADGX	Vanguard Advice Select	Pair Corr
0.77	VAGVX	Vanguard Advice Select	Pair Corr
0.79	VSCGX	Vanguard Lifestrategy	Pair Corr
0.77	VSCSX	Vanguard Short Term	Pair Corr
0.76	VSBIX	Vanguard Short Term	Pair Corr
0.77	VSBSX	Vanguard Short Term	Pair Corr
0.74	VASGX	Vanguard Lifestrategy	Pair Corr

Moving against Vanguard Mutual Fund

0.43

VAIGX

Vanguard Advice Select

Pair Corr

Related Correlations Analysis

	VGPMX	RING	FTLS	JMEE	EWG	FUTY	ESML	TSPA	QDF	XSOE
VGPMX		0.76	0.83	0.35	-0.12	0.36	0.27	0.77	0.61	0.44	VGPMX
RING	0.76		0.37	0.27	0.09	0.34	0.25	0.34	0.31	0.09	RING
FTLS	0.83	0.37		0.38	-0.24	0.17	0.17	0.85	0.71	0.53	FTLS
JMEE	0.35	0.27	0.38		0.43	-0.2	0.69	0.6	0.58	0.2	JMEE
EWG	-0.12	0.09	-0.24	0.43		0.1	0.34	0.12	0.11	0.1	EWG
FUTY	0.36	0.34	0.17	-0.2	0.1		0.12	0.25	0.29	0.61	FUTY
ESML	0.27	0.25	0.17	0.69	0.34	0.12		0.4	0.48	0.41	ESML
TSPA	0.77	0.34	0.85	0.6	0.12	0.25	0.4		0.81	0.66	TSPA
QDF	0.61	0.31	0.71	0.58	0.11	0.29	0.48	0.81		0.66	QDF
XSOE	0.44	0.09	0.53	0.2	0.1	0.61	0.41	0.66	0.66		XSOE
	VGPMX	RING	FTLS	JMEE	EWG	FUTY	ESML	TSPA	QDF	XSOE

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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

TSPA	+ 0.85	FTLS
FTLS	+ 0.83	VGPMX
QDF	+ 0.81	TSPA
TSPA	+ 0.77	VGPMX
RING	+ 0.76	VGPMX
QDF	+ 0.71	FTLS

High negative correlations

EWG	- 0.24	FTLS
FUTY	- 0.2	JMEE
EWG	- 0.12	VGPMX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Global 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 Global'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
VGPMX	0.72	0.15	0.14	0.25	0.75	(0.83)	1.59	(1.84)	4.16
RING	2.03	0.27	0.08	0.35	2.99	(2.03)	4.94	(4.57)	15.48
FTLS	0.44	0.02	(0.01)	0.09	0.52	(0.45)	1.04	(0.86)	3.00
JMEE	0.78	(0.04)	(0.02)	0.04	1.01	(0.77)	1.92	(1.63)	4.85
EWG	0.68	(0.07)	(0.09)	(0.01)	0.85	(0.68)	1.21	(1.35)	3.33
FUTY	0.64	0.05	(0.02)	1.16	0.77	(0.67)	1.32	(1.33)	3.80
ESML	0.84	0.06	(0.01)	(0.63)	1.07	(0.87)	1.76	(1.69)	4.83
TSPA	0.54	0.06	0.00	0.79	0.80	(0.53)	1.20	(1.11)	3.48
QDF	0.51	0.01	0.00	0.08	0.65	(0.53)	1.13	(1.12)	3.55
XSOE	0.66	0.09	0.02	2.22	0.87	(0.71)	1.30	(1.28)	4.84

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