Bright Rock Correlations

BQMGX Fund

USD 27.56 0.03 0.11%

The current 90-days correlation between Bright Rock Mid and Quantitative Longshort Equity is 0.13 (i.e., Average diversification). The correlation of Bright Rock 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.

Bright Rock Correlation With Market

Very poor diversification

The correlation between Bright Rock Mid and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bright Rock Mid 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 Bright Rock Mid. 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 price.

Moving together with Bright Mutual Fund

0.85	BQLCX	Bright Rock Quality	Pair Corr
0.97	PAMCX	T Rowe Price	Pair Corr
0.97	RRMGX	T Rowe Price	Pair Corr
0.92	TRQZX	T Rowe Price	Pair Corr
0.97	RPMGX	T Rowe Price	Pair Corr
0.94	PRJIX	T Rowe Price	Pair Corr
0.97	PRNHX	T Rowe Price	Pair Corr
0.94	TRUZX	T Rowe Price	Pair Corr
0.99	PCBIX	Midcap Fund Institutional	Pair Corr
0.95	PEMGX	Midcap Fund Class	Pair Corr
0.95	PMBCX	Midcap Fund Class	Pair Corr
0.89	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.89	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.89	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.89	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.98	DFMAX	Davidson Multi Cap	Pair Corr
0.98	AMGOX	Alger Mid Cap	Pair Corr
0.98	FSKAX	Fidelity Total Market	Pair Corr
0.93	KMKNX	Kinetics Market Oppo	Pair Corr
0.98	PRCCX	Putnam Convertible Incm	Pair Corr
0.96	BFTHX	Baron Fifth Avenue	Pair Corr
0.92	VBIAX	Vanguard Balanced Index	Pair Corr
0.68	LBHIX	Thrivent High Yield	Pair Corr
0.87	MFJBX	Mfs Lifetime 2060	Pair Corr
0.97	PREIX	T Rowe Price	Pair Corr
0.99	VIMAX	Vanguard Mid Cap	Pair Corr
0.93	TBDQX	Pgim Jennison Diversified	Pair Corr
0.75	FSBCX	Federated Global All	Pair Corr

Moving against Bright Mutual Fund

0.64	BTMKX	Blackrock International	Pair Corr
0.62	BTMPX	Ishares Msci Eafe	Pair Corr
0.62	MDIIX	Blackrock Intern Index	Pair Corr
0.45	FMFFX	Fs Managed Futures	Pair Corr

Related Correlations Analysis

	GTLSX	OWSBX	FTFZX	QNZIX	SWSFX	PRMDX
GTLSX		-0.36	0.35	0.75	0.58	0.24	GTLSX
OWSBX	-0.36		0.44	0.0	-0.2	0.48	OWSBX
FTFZX	0.35	0.44		0.49	0.39	0.75	FTFZX
QNZIX	0.75	0.0	0.49		0.7	0.35	QNZIX
SWSFX	0.58	-0.2	0.39	0.7		0.2	SWSFX
PRMDX	0.24	0.48	0.75	0.35	0.2		PRMDX
	GTLSX	OWSBX	FTFZX	QNZIX	SWSFX	PRMDX

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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

QNZIX	+ 0.75	GTLSX
PRMDX	+ 0.75	FTFZX
SWSFX	+ 0.7	QNZIX
SWSFX	+ 0.58	GTLSX
QNZIX	+ 0.49	FTFZX
PRMDX	+ 0.48	OWSBX

High negative correlations

OWSBX	- 0.36	GTLSX
SWSFX	- 0.2	OWSBX
QNZIX	- 0.0	OWSBX

Risk-Adjusted Indicators

There is a big difference between Bright Mutual Fund performing well and Bright Rock 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 Bright Rock'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
GTLSX	0.31	0.05	(0.20)	1.70	0.22	(0.37)	0.71	(0.50)	2.57
OWSBX	0.09	0.00	(0.99)	0.05	0.00	(0.12)	0.20	(0.10)	0.49
FTFZX	0.07	0.00	(0.66)	0.42	0.00	(0.13)	0.19	(0.10)	0.68
QNZIX	0.59	0.07	(0.08)	(9.94)	0.71	(0.61)	1.06	(1.07)	3.72
SWSFX	0.04	0.00	(1.18)	(0.50)	0.00	(0.17)	0.10	(0.10)	0.49
PRMDX	0.06	0.00	(0.49)	0.04	0.00	(0.20)	0.20	(0.19)	0.59

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