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

DiversifiedDowDiversified AwayDiversifiedDowDiversified Away100%

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

  0.79SAAAX Simt Multi AssetPairCorr
  0.93SRWAX Saat Market GrowthPairCorr
  0.66SSCGX Simt Small CapPairCorr
  0.7SSEAX Siit Screened WorldPairCorr
  0.87SSGAX Saat Aggressive StrategyPairCorr
  0.88SASDX Saat Aggressive StrategyPairCorr
  0.67SSMAX Siit Small MidPairCorr
  0.72SSPIX Simt Sp 500PairCorr
  0.69SSTDX Saat Servative StrategyPairCorr
  0.62SBDAX Stet California MunicipalPairCorr
  0.67STAYX Stet Tax AdvantagedPairCorr
  0.75STLYX Simt Tax ManagedPairCorr
  0.61STMSX Simt Tax ManagedPairCorr
  0.66SCFYX Simt E FixedPairCorr
  0.79SCMSX Saat E MarketPairCorr
  0.77SCLAX Simt Multi AssetPairCorr
  0.66CFVAX Catholic Values FixedPairCorr
  0.65SCOAX Siit E FixedPairCorr
  0.66CFVYX Catholic Values FixedPairCorr
  0.69SCPAX Siit Large CapPairCorr
  0.66SCXIX Sei Insti MgdPairCorr
  0.62SCYYX Stet California MunicipalPairCorr
  0.64SUSYX Simt Managed VolatilityPairCorr
  0.63SDLAX Siit Dynamic AssetPairCorr
  0.73SVAYX Simt Large CapPairCorr
  0.8SDYAX Simt Dynamic AssetPairCorr
  0.64SVOAX Simt Managed VolatilityPairCorr
  0.8SDYYX Simt Dynamic AssetPairCorr
  0.65SVSAX Saat Servative StrategyPairCorr
  0.86SEAIX Saat Aggressive StrategyPairCorr

Related Correlations Analysis

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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   
SASDXSSGAX
TFCYXTFCAX
SSMAXSSCGX
SSGAXSAAAX
SASDXSAAAX
SSEAXSAAAX
  
High negative correlations   
TFCYXSSMAX
TFCAXSSMAX
TFCYXSSCGX
TFCAXSSCGX
SSCGXSRYRX
SSMAXSRYRX

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SAAAX  0.37  0.04  0.10  0.11  0.45 
 0.71 
 2.63 
SRWAX  0.37  0.00  0.02 (0.03) 0.77 
 0.64 
 4.16 
SRYRX  0.10  0.02  0.32  0.47  0.00 
 0.21 
 0.52 
SSCGX  1.04 (0.19) 0.00 (0.17) 0.00 
 1.77 
 9.63 
SSEAX  0.49  0.07  0.10  0.14  0.75 
 1.23 
 3.37 
SSGAX  0.45  0.03  0.06  0.04  0.65 
 0.74 
 3.03 
SASDX  0.45  0.03  0.05  0.03  0.67 
 0.76 
 2.97 
SSMAX  0.78 (0.17) 0.00 (0.24) 0.00 
 1.49 
 10.78 
TFCAX  0.03  0.00  0.00  0.00  0.00 
 0.10 
 0.40 
TFCYX  0.03  0.00  0.00 (0.16) 0.00 
 0.10 
 0.40 

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