Bmo Large-cap Correlations

BLGRX Fund

USD 22.91 0.12 0.53%

The current 90-days correlation between Bmo Large Cap and Jpmorgan Value Advantage is 0.63 (i.e., Poor diversification). The correlation of Bmo Large-cap 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.

Bmo Large-cap Correlation With Market

Significant diversification

The correlation between Bmo Large Cap Growth and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bmo Large Cap Growth 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 Bmo Large Cap Growth. 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 metropolitan statistical area.

Moving together with Bmo Mutual Fund

1.0	BALGX	Bmo Large Cap	Pair Corr
0.78	FAFGX	American Funds	Pair Corr
0.78	FFAFX	American Funds	Pair Corr
0.78	GFACX	Growth Fund	Pair Corr
0.77	GFAFX	Growth Fund	Pair Corr
0.78	CGFFX	Growth Fund	Pair Corr
0.78	CGFCX	Growth Fund	Pair Corr
0.78	CGFAX	Growth Fund	Pair Corr
0.77	CGFEX	Growth Fund	Pair Corr
0.78	RGAEX	Growth Fund	Pair Corr
0.69	IFN	India Closed	Pair Corr
0.68	USA	Liberty All Star	Pair Corr
0.63	VHYAX	Vanguard High Dividend	Pair Corr
0.64	FBALX	Fidelity Balanced	Pair Corr
0.67	LIFEX	Domini Sustainable	Pair Corr
0.77	NBMOX	Neuberger Berman Small	Pair Corr

Moving against Bmo Mutual Fund

0.32	CII	Blackrock Enhanced	Pair Corr
0.46	GEIUX	Goldman Sachs Enhanced	Pair Corr
0.52	AQMIX	Aqr Managed Futures	Pair Corr
0.32	UVPSX	Ultrashort Emerging	Pair Corr

Related Correlations Analysis

	JVAAX	OIEIX	BRRAY	MSTSX	LBHIX	VIASP	XTWO	KNG	JRBEX	KNF
JVAAX		1.0	-0.81	0.81	-0.02	-0.69	-0.54	0.9	0.54	-0.17	JVAAX
OIEIX	1.0		-0.81	0.81	-0.04	-0.71	-0.54	0.91	0.54	-0.19	OIEIX
BRRAY	-0.81	-0.81		-0.71	0.35	0.75	0.57	-0.76	-0.24	0.42	BRRAY
MSTSX	0.81	0.81	-0.71		-0.09	-0.83	-0.54	0.93	0.55	-0.18	MSTSX
LBHIX	-0.02	-0.04	0.35	-0.09		0.48	0.66	-0.04	0.58	0.65	LBHIX
VIASP	-0.69	-0.71	0.75	-0.83	0.48		0.69	-0.77	-0.18	0.59	VIASP
XTWO	-0.54	-0.54	0.57	-0.54	0.66	0.69		-0.47	0.21	0.55	XTWO
KNG	0.9	0.91	-0.76	0.93	-0.04	-0.77	-0.47		0.64	-0.15	KNG
JRBEX	0.54	0.54	-0.24	0.55	0.58	-0.18	0.21	0.64		0.51	JRBEX
KNF	-0.17	-0.19	0.42	-0.18	0.65	0.59	0.55	-0.15	0.51		KNF
	JVAAX	OIEIX	BRRAY	MSTSX	LBHIX	VIASP	XTWO	KNG	JRBEX	KNF

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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

OIEIX	+ 1.0	JVAAX
KNG	+ 0.93	MSTSX
KNG	+ 0.91	OIEIX
KNG	+ 0.9	JVAAX
MSTSX	+ 0.81	JVAAX
MSTSX	+ 0.81	OIEIX

High negative correlations

VIASP	- 0.83	MSTSX
BRRAY	- 0.81	OIEIX
BRRAY	- 0.81	JVAAX
KNG	- 0.77	VIASP
KNG	- 0.76	BRRAY
MSTSX	- 0.71	BRRAY

Risk-Adjusted Indicators

There is a big difference between Bmo Mutual Fund performing well and Bmo Large-cap 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 Bmo Large-cap'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
JVAAX	0.72	(0.12)	0.00	(0.28)	0.00	0.00	1.04	(1.11)	12.01
OIEIX	0.68	(0.10)	0.00	(0.21)	0.00	0.00	1.16	(1.08)	9.17
BRRAY	3.65	0.66	0.06	1.78	4.24	(11.58)	17.37	(11.51)	59.51
MSTSX	0.57	0.00	0.00	0.00	0.00	0.00	0.97	(1.20)	7.06
LBHIX	0.14	0.01	(0.10)	0.28	0.05	(0.32)	0.48	(0.24)	1.19
VIASP	0.63	0.19	0.21	4.09	0.45	(0.73)	1.40	(1.18)	5.04
XTWO	0.07	0.00	(0.48)	(0.39)	0.00	(0.08)	0.18	(0.16)	0.39
KNG	0.51	(0.09)	0.00	(0.76)	0.00	0.00	1.02	(0.90)	3.42
JRBEX	0.37	(0.01)	(0.06)	0.01	0.54	(0.37)	0.77	(0.84)	2.76
KNF	1.85	0.15	0.05	0.40	2.45	(1.82)	4.11	(3.20)	14.88

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