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Vanguard correlation matrix
Old 02-24-2010, 11:49 AM   #1
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Vanguard correlation matrix

I know that this risks putting me on many folk's "ignore user" list, but this forum just hasn't been nerdy enough lately.

So if anybody is interested, here is a correlation matrix of all of Vanguard's mutual funds (at least those that are available through the data server I am using).

Some notes and caveats:
1. Please don't base investment decisions on this without independent confirmation. I don't want a goof of mine to cause anybody to lose money.
2. I used all available data since inception of the funds, but some of them are so new that the data is not worth much. Again: be careful.
3. I hope the color coding is obvious, dark green for strongly anti-correlated, dark red for strongly correlated, and lighter colors for in-between.
4. I created this using Mathematica's financial data server and their built in correlation function.
5. The matrix is very large. You will have to zoom a lot.
VanguardCorrs.pdf
6. Here are correlations of Vanguard's Total Stock Market ETF to their other ETFs in table format
vETFs.pdf
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Old 02-24-2010, 12:20 PM   #2
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Originally Posted by IndependentlyPoor View Post
I know that this risks putting me on many folk's "ignore user" list..
If you really want to zoom to the #1 position on the ignore list you need to do a correlation matrix of investing in Vanguard funds vs. paying off your mortgage early.
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Old 02-24-2010, 12:58 PM   #3
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Can you do a 3-way correlation and add in variable annuities ...
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Old 02-24-2010, 01:39 PM   #4
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Can you do a 3-way correlation and add in variable annuities ...
Now where did I put my Curmudgeon certificate?



heh heh heh - let's not get as nerdy as some of the Boglehead's threads -over there they get all serious and complex - even though I've layed a few snide - it really is that stone simple comments on them.

I'm saving pssst Wellesley for later. Now as to refianacing my 30 yr mortgage or early SS as a faux annuity substitute - .
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Old 02-24-2010, 03:30 PM   #5
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That's great - NICE JOB!!!

and tomorrow you are going to do VG vs FI ??


THANKS!!!!!!
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Old 02-24-2010, 03:49 PM   #6
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Actually very interesting.

Now for a rolling correlation update every three months - you can get back with us as they do change with time.

heh heh heh - I actually used this kind of data back in the day when I had REIT Index, Small Cap Value Index and High Yield Corp to side dress my Lifestragety moderate. Now - Target Retirement 2015 with a few dividend stocks as medicine for the hormones. Aka mostly full auto and lazy.
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Old 02-24-2010, 04:07 PM   #7
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Heh, heh. I can sense eyeballs glazing-over all across cyberspace.

Here are graphs of rolling 50-day correlations of VTI vs other Vanguard ETFs. Folks like to say that correlations tend to unity in times of crises, but it seems to me that with the exception of bond fund, they are pretty high most of the time.

moving correlations- Global.gif

moving correlations- Sector Specific.gif

moving correlations- Domestic, more aggressive.gif

moving correlations- Domestic general.gif

moving correlations- bonds.gif

What can I say? I got a new copy of Mathematica and have too much time on my hands.
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Old 02-24-2010, 04:13 PM   #8
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You're not related to Gummy are you?

heh heh heh -
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Old 02-24-2010, 04:31 PM   #9
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Ok... for someone who does not get into which fund is which....

Where is the decoder ring

(or, what funds are what ticker?)
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Old 02-24-2010, 04:31 PM   #10
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Dumb question.... how do I decode your row and column headers into ticker symbols?
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Old 02-24-2010, 04:39 PM   #11
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Sorry 'bout that
Vanguard ticker symbols.pdf
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Old 02-24-2010, 04:43 PM   #12
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Very cool stuff. I'll definitely refer to it the next time I want to add/remove a fund from my portfolio. Thanks for sharing.
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Oops
Old 02-24-2010, 05:00 PM   #13
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Oops

I did these correlations last month, and that is several weeks longer than my memory's half life. I though that I had done all Vanguard funds, but seems like I only did the ETFs. Sorry for the confusion.
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Old 02-24-2010, 07:29 PM   #14
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I did these correlations last month, and that is several weeks longer than my memory's half life. I though that I had done all Vanguard funds, but seems like I only did the ETFs. Sorry for the confusion.
I was wondering where the tickers for mutual funds were hiding. I recognized some of the ETF tickers.
Nice job on the data presentation BTW. It was a bona fide Engineer thang.
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Old 02-24-2010, 10:48 PM   #15
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I know that this risks putting me on many folk's "ignore user" list, but this forum just hasn't been nerdy enough lately.
Are you kidding me this is much more interesting than reading what a bunch of old people "did today"
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Old 02-26-2010, 03:36 PM   #16
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Bumping my own thread again.

Here is a correlation matrix of Vanguard's non-ETF funds, not including money market funds. I believe there are 107 of them, so the matrix is HUGE. You will have to zoom in a lot. I labeled each cell with its row and column to make the thing a bit more useful.
Note: you can also use your PDF viewer's "find" feature.

I believe that these correlations are correct, but I am still checking. Please let me know if anything looks fishy.
Vanguard fund correlations.pdf
Here is a table of the ticker symbols
Vanguard fund index.pdf
And for sure, don't make any investment decisions based on this information without independent confirmation.
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Old 02-26-2010, 03:51 PM   #17
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Is this correlation of daily returns? Annual returns?
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Old 02-26-2010, 03:55 PM   #18
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Is this correlation of daily returns? Annual returns?
Daily, over the longest period possible during which each pair of funds exist, so some of the correlation pairs are over much longer periods than others.
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Old 02-26-2010, 04:17 PM   #19
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Daily, over the longest period possible during which each pair of funds exist, so some of the correlation pairs are over much longer periods than others.
That probably explains why my own analysis produced different results. I looked at correlation of yearly performance and found the REIT fund to be less correlated with most other equity classes than what your results show.
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Old 02-26-2010, 08:23 PM   #20
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First of all, thanks for the interesting thread. This is great! Especially the funds matrix. The ETFs are all pretty new and I personally do not value the short term correlations.
I find some things surprising. EM to S&P 500 for long periods .62. REIT to S&P 500 for long periods .68.
Do I find some things fishy? The Target Retirement funds as a group seem to have that great negative correlation to the equity markets. Even better than the bond funds. No facts here, just feelings.

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