Vanguard Long-term Correlations

VWESX Fund

USD 7.94 0.08 1.02%

The current 90-days correlation between Vanguard Long Term and Vanguard Long Term Treasury is 0.96 (i.e., Almost no diversification). The correlation of Vanguard Long-term 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 Long-term Correlation With Market

Good diversification

The correlation between Vanguard Long Term Investment and DJI is -0.09 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Long Term Investment 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 Long Term Investment Grade. 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 state.

Moving together with Vanguard Mutual Fund

0.64	VNJTX	Vanguard New Jersey	Pair Corr
0.66	VNYTX	Vanguard New York	Pair Corr
0.63	VOHIX	Vanguard Ohio Long	Pair Corr
0.62	VPAIX	Vanguard Pennsylvania	Pair Corr
0.72	VPKIX	Vanguard Pacific Stock	Pair Corr
0.85	VSCSX	Vanguard Short Term	Pair Corr
0.85	VSBIX	Vanguard Short Term	Pair Corr
0.84	VSBSX	Vanguard Short Term	Pair Corr
0.83	VASIX	Vanguard Lifestrategy	Pair Corr
0.93	VSGBX	Vanguard Short Term	Pair Corr
0.98	VSIGX	Vanguard Intermediate	Pair Corr
0.99	VBILX	Vanguard Intermediate-ter	Pair Corr

Moving against Vanguard Mutual Fund

0.69	VSEMX	Vanguard Extended Market	Pair Corr
0.65	NAESX	Vanguard Small Cap	Pair Corr
0.65	VSCIX	Vanguard Small Cap	Pair Corr
0.65	VSCPX	Vanguard Small Cap	Pair Corr
0.59	VMVAX	Vanguard Mid Cap	Pair Corr
0.59	VMVIX	Vanguard Mid Cap	Pair Corr
0.58	VMVLX	Vanguard Mega Cap	Pair Corr
0.53	VPCCX	Vanguard Primecap	Pair Corr
0.41	VPMCX	Vanguard Primecap	Pair Corr
0.41	VPMAX	Vanguard Primecap	Pair Corr
0.37	VAGVX	Vanguard Advice Select	Pair Corr
0.7	VSMPX	Vanguard Total Stock	Pair Corr
0.7	VSTSX	Vanguard Total Stock	Pair Corr
0.7	VTCIX	Vanguard Tax Managed	Pair Corr
0.66	VSGAX	Vanguard Small Cap	Pair Corr
0.66	VSGIX	Vanguard Small Cap	Pair Corr
0.65	VSMAX	Vanguard Small Cap	Pair Corr
0.63	VSIAX	Vanguard Small Cap	Pair Corr
0.63	VSIIX	Vanguard Small Cap	Pair Corr
0.54	VASVX	Vanguard Selected Value	Pair Corr
0.38	VASGX	Vanguard Lifestrategy	Pair Corr

Related Correlations Analysis

	VUSTX	VFICX	VWEHX	VFSTX	VFITX
VUSTX		0.95	-0.03	0.82	0.99	VUSTX
VFICX	0.95		0.22	0.93	0.97	VFICX
VWEHX	-0.03	0.22		0.46	0.02	VWEHX
VFSTX	0.82	0.93	0.46		0.87	VFSTX
VFITX	0.99	0.97	0.02	0.87		VFITX
	VUSTX	VFICX	VWEHX	VFSTX	VFITX

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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

VFITX	+ 0.99	VUSTX
VFITX	+ 0.97	VFICX
VFICX	+ 0.95	VUSTX
VFSTX	+ 0.93	VFICX
VFITX	+ 0.87	VFSTX
VFSTX	+ 0.82	VUSTX

High negative correlations

VWEHX

- 0.03

VUSTX

Risk-Adjusted Indicators

There is a big difference between Vanguard Mutual Fund performing well and Vanguard Long-term 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 Long-term'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
VUSTX	0.60	(0.02)	0.00	0.21	0.00	0.00	1.35	(1.33)	3.74
VFICX	0.23	0.00	(0.41)	0.21	0.28	(0.28)	0.46	(0.58)	1.39
VWEHX	0.10	0.01	(0.53)	0.33	0.00	(0.22)	0.19	(0.18)	0.73
VFSTX	0.12	0.00	(0.73)	(0.01)	0.10	(0.15)	0.29	(0.19)	0.77
VFITX	0.21	(0.01)	0.00	0.25	0.00	0.00	0.40	(0.41)	1.39

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