Select Fund Correlations

ASDEX Fund

USD 131.27 1.18 0.89%

The current 90-days correlation between Select Fund R6 and Gabelli Equity Trust is 0.2 (i.e., Modest diversification). The correlation of Select Fund 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.

Select Fund Correlation With Market

Poor diversification

The correlation between Select Fund R6 and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Select Fund R6 and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Select Fund R6. 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 housing.

Moving together with Select Mutual Fund

0.71	AMEIX	Equity Growth	Pair Corr
0.79	AMGIX	Income Growth	Pair Corr
0.98	TWCCX	Ultra Fund C	Pair Corr
0.74	AMVYX	Mid Cap Value	Pair Corr
0.74	AMVRX	Mid Cap Value	Pair Corr
0.74	AMVGX	Mid Cap Value	Pair Corr
0.7	TWGGX	Global Growth	Pair Corr
0.98	TWRCX	Growth Fund C	Pair Corr

Related Correlations Analysis

	TWCIX	PNOYX	HGOYX	PRRAX	HGOSX	HGOAX	MMACX	HHHSX	AMIGX	GAB
TWCIX		0.94	0.81	-0.74	0.76	0.71	-0.33	-0.5	-0.16	-0.32	TWCIX
PNOYX	0.94		0.78	-0.77	0.72	0.67	-0.49	-0.67	-0.34	-0.38	PNOYX
HGOYX	0.81	0.78		-0.66	1.0	0.98	-0.13	-0.32	-0.27	-0.08	HGOYX
PRRAX	-0.74	-0.77	-0.66		-0.62	-0.57	0.69	0.76	0.67	0.57	PRRAX
HGOSX	0.76	0.72	1.0	-0.62		1.0	-0.06	-0.26	-0.25	-0.02	HGOSX
HGOAX	0.71	0.67	0.98	-0.57	1.0		0.0	-0.19	-0.22	0.04	HGOAX
MMACX	-0.33	-0.49	-0.13	0.69	-0.06	0.0		0.96	0.81	0.75	MMACX
HHHSX	-0.5	-0.67	-0.32	0.76	-0.26	-0.19	0.96		0.8	0.7	HHHSX
AMIGX	-0.16	-0.34	-0.27	0.67	-0.25	-0.22	0.81	0.8		0.56	AMIGX
GAB	-0.32	-0.38	-0.08	0.57	-0.02	0.04	0.75	0.7	0.56		GAB
	TWCIX	PNOYX	HGOYX	PRRAX	HGOSX	HGOAX	MMACX	HHHSX	AMIGX	GAB

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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

HGOSX	+ 1.0	HGOYX
HGOAX	+ 1.0	HGOSX
HGOAX	+ 0.98	HGOYX
HHHSX	+ 0.96	MMACX
PNOYX	+ 0.94	TWCIX
HGOYX	+ 0.81	TWCIX

High negative correlations

PRRAX	- 0.77	PNOYX
PRRAX	- 0.74	TWCIX
HHHSX	- 0.67	PNOYX
PRRAX	- 0.66	HGOYX
HGOSX	- 0.62	PRRAX
HGOAX	- 0.57	PRRAX

Risk-Adjusted Indicators

There is a big difference between Select Mutual Fund performing well and Select Fund 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 Select Fund'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
TWCIX	0.73	(0.07)	(0.08)	(0.01)	1.05	(0.69)	1.28	(1.66)	5.20
PNOYX	0.54	(0.08)	0.00	(0.02)	0.00	0.00	1.01	(1.20)	3.81
HGOYX	0.91	(0.04)	(0.03)	0.04	1.27	(0.88)	1.78	(2.29)	7.60
PRRAX	0.55	0.09	0.03	0.42	0.67	(0.57)	1.25	(1.24)	3.37
HGOSX	0.92	(0.03)	(0.02)	0.05	1.26	(0.90)	1.78	(2.29)	8.50
HGOAX	0.93	(0.02)	(0.01)	0.06	1.26	(0.93)	1.78	(2.30)	9.30
MMACX	0.31	0.04	(0.02)	0.17	0.17	(0.34)	0.66	(0.65)	1.88
HHHSX	0.75	0.27	0.28	0.46	0.30	(0.86)	2.08	(1.16)	4.57
AMIGX	0.69	0.02	0.00	0.10	0.87	(0.74)	1.20	(1.52)	4.48
GAB	0.63	0.04	(0.01)	0.18	0.62	(0.73)	1.15	(1.13)	4.37

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