Diversified Equity Correlations

DAACX Fund

USD 11.55 0.17 1.45%

The current 90-days correlation between Diversified Equity and Simt Multi Asset Accumulation is 0.84 (i.e., Very poor diversification). The correlation of Diversified Equity 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.

Diversified Equity Correlation With Market

Very weak diversification

The correlation between Diversified Equity and DJI is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diversified Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Diversified Equity. 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 main economic indicators.

Moving together with Diversified Mutual Fund

0.79	SAAAX	Simt Multi Asset	Pair Corr
0.93	SRWAX	Saat Market Growth	Pair Corr
0.66	SSCGX	Simt Small Cap	Pair Corr
0.7	SSEAX	Siit Screened World	Pair Corr
0.87	SSGAX	Saat Aggressive Strategy	Pair Corr
0.88	SASDX	Saat Aggressive Strategy	Pair Corr
0.67	SSMAX	Siit Small Mid	Pair Corr
0.72	SSPIX	Simt Sp 500	Pair Corr
0.69	SSTDX	Saat Servative Strategy	Pair Corr
0.62	SBDAX	Stet California Municipal	Pair Corr
0.67	STAYX	Stet Tax Advantaged	Pair Corr
0.75	STLYX	Simt Tax Managed	Pair Corr
0.61	STMSX	Simt Tax Managed	Pair Corr
0.66	SCFYX	Simt E Fixed	Pair Corr
0.79	SCMSX	Saat E Market	Pair Corr
0.77	SCLAX	Simt Multi Asset	Pair Corr
0.66	CFVAX	Catholic Values Fixed	Pair Corr
0.65	SCOAX	Siit E Fixed	Pair Corr
0.66	CFVYX	Catholic Values Fixed	Pair Corr
0.69	SCPAX	Siit Large Cap	Pair Corr
0.66	SCXIX	Sei Insti Mgd	Pair Corr
0.62	SCYYX	Stet California Municipal	Pair Corr
0.64	SUSYX	Simt Managed Volatility	Pair Corr
0.63	SDLAX	Siit Dynamic Asset	Pair Corr
0.73	SVAYX	Simt Large Cap	Pair Corr
0.8	SDYAX	Simt Dynamic Asset	Pair Corr
0.64	SVOAX	Simt Managed Volatility	Pair Corr
0.8	SDYYX	Simt Dynamic Asset	Pair Corr
0.65	SVSAX	Saat Servative Strategy	Pair Corr
0.86	SEAIX	Saat Aggressive Strategy	Pair Corr

Related Correlations Analysis

	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX	SSGAX	SASDX	SSMAX	TFCAX	TFCYX
SAAAX		0.86	0.81	0.2	0.96	0.97	0.97	0.24	0.48	0.48	SAAAX
SRWAX	0.86		0.44	0.65	0.77	0.87	0.89	0.69	0.03	0.03	SRWAX
SRYRX	0.81	0.44		-0.33	0.83	0.73	0.71	-0.28	0.77	0.76	SRYRX
SSCGX	0.2	0.65	-0.33		0.05	0.27	0.31	0.99	-0.61	-0.61	SSCGX
SSEAX	0.96	0.77	0.83	0.05		0.94	0.93	0.09	0.54	0.54	SSEAX
SSGAX	0.97	0.87	0.73	0.27	0.94		1.0	0.3	0.41	0.42	SSGAX
SASDX	0.97	0.89	0.71	0.31	0.93	1.0		0.33	0.38	0.39	SASDX
SSMAX	0.24	0.69	-0.28	0.99	0.09	0.3	0.33		-0.61	-0.61	SSMAX
TFCAX	0.48	0.03	0.77	-0.61	0.54	0.41	0.38	-0.61		1.0	TFCAX
TFCYX	0.48	0.03	0.76	-0.61	0.54	0.42	0.39	-0.61	1.0		TFCYX
	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX	SSGAX	SASDX	SSMAX	TFCAX	TFCYX

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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

SASDX	+ 1.0	SSGAX
TFCYX	+ 1.0	TFCAX
SSMAX	+ 0.99	SSCGX
SSGAX	+ 0.97	SAAAX
SASDX	+ 0.97	SAAAX
SSEAX	+ 0.96	SAAAX

High negative correlations

TFCYX	- 0.61	SSMAX
TFCAX	- 0.61	SSMAX
TFCYX	- 0.61	SSCGX
TFCAX	- 0.61	SSCGX
SSCGX	- 0.33	SRYRX
SSMAX	- 0.28	SRYRX

Risk-Adjusted Indicators

There is a big difference between Diversified Mutual Fund performing well and Diversified Equity 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 Diversified Equity'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
SAAAX	0.37	0.04	0.10	0.11	0.45	(0.43)	0.71	(0.71)	2.63
SRWAX	0.37	0.00	0.02	(0.03)	0.77	(0.35)	0.64	(0.70)	4.16
SRYRX	0.10	0.02	0.32	0.47	0.00	(0.13)	0.21	(0.21)	0.52
SSCGX	1.04	(0.19)	0.00	(0.17)	0.00	0.00	1.77	(2.58)	9.63
SSEAX	0.49	0.07	0.10	0.14	0.75	(0.47)	1.23	(1.14)	3.37
SSGAX	0.45	0.03	0.06	0.04	0.65	(0.47)	0.74	(1.05)	3.03
SASDX	0.45	0.03	0.05	0.03	0.67	(0.45)	0.76	(1.08)	2.97
SSMAX	0.78	(0.17)	0.00	(0.24)	0.00	0.00	1.49	(1.24)	10.78
TFCAX	0.03	0.00	0.00	0.00	0.00	0.00	0.10	0.00	0.40
TFCYX	0.03	0.00	0.00	(0.16)	0.00	0.00	0.10	0.00	0.40

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