Vanguard Global Correlations

VMNVX Fund

USD 33.17 0.04 0.12%

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

Very poor diversification

The correlation between Vanguard Global Minimum and DJI is 0.81 (i.e., Very 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 real.

Moving together with Vanguard Mutual Fund

0.76	VMIAX	Vanguard Materials Index	Pair Corr
0.77	VMVAX	Vanguard Mid Cap	Pair Corr
0.77	VMVIX	Vanguard Mid Cap	Pair Corr
1.0	VMVFX	Vanguard Global Minimum	Pair Corr
0.85	VMVLX	Vanguard Mega Cap	Pair Corr
0.68	VPCCX	Vanguard Primecap	Pair Corr
0.82	VPMCX	Vanguard Primecap	Pair Corr
0.82	VPMAX	Vanguard Primecap	Pair Corr
0.7	NAESX	Vanguard Small Cap	Pair Corr
0.72	VQNPX	Vanguard Growth And	Pair Corr
0.7	VADGX	Vanguard Advice Select	Pair Corr
0.75	VAGVX	Vanguard Advice Select	Pair Corr
0.7	VSCIX	Vanguard Small Cap	Pair Corr
0.63	VSCGX	Vanguard Lifestrategy	Pair Corr
0.66	VSCPX	Vanguard Small Cap	Pair Corr
0.67	VSEMX	Vanguard Extended Market	Pair Corr
0.73	VSEQX	Vanguard Strategic Equity	Pair Corr

Moving against Vanguard Mutual Fund

0.36

VSIGX

Vanguard Intermediate-ter

Pair Corr

Related Correlations Analysis

	CNZLX	CNJFX	CNREX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF
CNZLX		0.85	0.37	0.51	0.0	-0.21	0.11	-0.1	0.45	0.6	CNZLX
CNJFX	0.85		0.16	0.58	0.0	0.06	-0.06	-0.29	0.28	0.59	CNJFX
CNREX	0.37	0.16		-0.22	0.0	-0.57	0.7	0.59	0.57	-0.02	CNREX
444859BR2	0.51	0.58	-0.22		0.0	0.22	-0.53	-0.54	-0.03	0.41	444859BR2
AQUI	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.21	0.06	-0.57	0.22	0.0		-0.45	-0.35	-0.4	-0.04	BRRAY
MSTSX	0.11	-0.06	0.7	-0.53	0.0	-0.45		0.67	0.34	-0.02	MSTSX
LBHIX	-0.1	-0.29	0.59	-0.54	0.0	-0.35	0.67		0.51	-0.29	LBHIX
ABHYX	0.45	0.28	0.57	-0.03	0.0	-0.4	0.34	0.51		-0.05	ABHYX
SCAXF	0.6	0.59	-0.02	0.41	0.0	-0.04	-0.02	-0.29	-0.05		SCAXF
	CNZLX	CNJFX	CNREX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF

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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

CNJFX	+ 0.85	CNZLX
MSTSX	+ 0.7	CNREX
LBHIX	+ 0.67	MSTSX
SCAXF	+ 0.6	CNZLX
SCAXF	+ 0.59	CNJFX
LBHIX	+ 0.59	CNREX

High negative correlations

BRRAY	- 0.57	CNREX
LBHIX	- 0.54	444859BR2
MSTSX	- 0.53	444859BR2
MSTSX	- 0.45	BRRAY
ABHYX	- 0.4	BRRAY
LBHIX	- 0.35	BRRAY

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
CNZLX	0.61	(0.07)	0.00	(6.27)	0.00	0.00	1.49	(1.41)	4.03
CNJFX	0.90	(0.16)	0.00	(0.17)	0.00	0.00	2.09	(1.83)	7.72
CNREX	0.62	0.01	(0.08)	0.16	0.78	(0.65)	1.22	(1.53)	3.86
444859BR2	1.35	(0.09)	0.00	(0.14)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.13)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.42)	0.38	0.00	(0.29)	0.24	(0.24)	0.96
ABHYX	0.17	0.00	(0.24)	0.19	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.41)	0.00	(0.98)	0.00	0.00	0.00	0.00	23.47

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