Elfun Diversified Correlations

ELDFX Fund

USD 21.95 0.10 0.46%

The current 90-days correlation between Elfun Diversified and Shelton Emerging Markets is 0.06 (i.e., Significant diversification). The correlation of Elfun Diversified 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.

Elfun Diversified Correlation With Market

Poor diversification

The correlation between Elfun Diversified Fund and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Elfun Diversified Fund 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 Elfun Diversified Fund. 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 census.

Moving together with Elfun Mutual Fund

0.98	SSAHX	State Street Target	Pair Corr
0.99	SSAJX	State Street Target	Pair Corr
0.91	SSADX	State Street Target	Pair Corr
0.97	SSAOX	State Street Target	Pair Corr
0.73	SSAQX	State Street Core	Pair Corr
0.99	SSAKX	State Street Target	Pair Corr
0.99	SSBYX	State Street Target	Pair Corr
0.99	SSBWX	State Street Target	Pair Corr
0.99	SSCKX	State Street Target	Pair Corr
0.98	SSCNX	State Street Target	Pair Corr
0.99	SSCJX	State Street Target	Pair Corr
0.98	SSCQX	State Street Target	Pair Corr
0.86	SSAWX	State Street Target	Pair Corr
0.99	SSAZX	State Street Target	Pair Corr
0.96	SSAUX	State Street Target	Pair Corr
0.98	SSBRX	State Street Target	Pair Corr
0.98	SSBSX	State Street Target	Pair Corr
0.92	SSBNX	State Street Target	Pair Corr
0.93	SSBOX	State Street Target	Pair Corr
0.95	SSDYX	State Street Target	Pair Corr
0.71	SSEYX	State Street Equity	Pair Corr
0.97	SSDEX	State Street Target	Pair Corr
0.97	SSDDX	State Street Target	Pair Corr
0.95	SSDOX	State Street Target	Pair Corr
0.96	SSDJX	State Street Target	Pair Corr
0.95	SSDLX	State Street Target	Pair Corr
0.95	SSDWX	State Street Target	Pair Corr
0.95	SSDQX	State Street Target	Pair Corr
0.95	SSFJX	State Street Target	Pair Corr
0.95	SSFKX	State Street Target	Pair Corr

Related Correlations Analysis

	EMSLX	DBELX	RALRX	EGLNX	GAGPX	ZEMIX	EPASX	REMVX
EMSLX		0.3	0.53	-0.12	0.98	0.95	0.96	0.98	EMSLX
DBELX	0.3		-0.18	-0.71	0.3	0.07	0.28	0.36	DBELX
RALRX	0.53	-0.18		0.61	0.47	0.69	0.44	0.45	RALRX
EGLNX	-0.12	-0.71	0.61		-0.18	0.14	-0.14	-0.21	EGLNX
GAGPX	0.98	0.3	0.47	-0.18		0.93	0.97	0.99	GAGPX
ZEMIX	0.95	0.07	0.69	0.14	0.93		0.92	0.92	ZEMIX
EPASX	0.96	0.28	0.44	-0.14	0.97	0.92		0.98	EPASX
REMVX	0.98	0.36	0.45	-0.21	0.99	0.92	0.98		REMVX
	EMSLX	DBELX	RALRX	EGLNX	GAGPX	ZEMIX	EPASX	REMVX

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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

REMVX	+ 0.99	GAGPX
GAGPX	+ 0.98	EMSLX
REMVX	+ 0.98	EMSLX
REMVX	+ 0.98	EPASX
EPASX	+ 0.97	GAGPX
EPASX	+ 0.96	EMSLX

High negative correlations

EGLNX	- 0.71	DBELX
REMVX	- 0.21	EGLNX
GAGPX	- 0.18	EGLNX
RALRX	- 0.18	DBELX
EPASX	- 0.14	EGLNX
EGLNX	- 0.12	EMSLX

Risk-Adjusted Indicators

There is a big difference between Elfun Mutual Fund performing well and Elfun Diversified 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 Elfun Diversified'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
EMSLX	0.72	(0.03)	0.00	(1.46)	0.00	0.00	1.76	(1.08)	6.36
DBELX	0.33	(0.05)	0.00	(1.19)	0.00	0.00	0.56	(0.67)	1.87
RALRX	0.42	0.03	(0.14)	2.09	0.53	(0.44)	0.83	(0.83)	2.68
EGLNX	0.69	0.25	0.16	2.28	0.46	(0.84)	1.73	(1.06)	4.48
GAGPX	0.71	(0.03)	0.00	0.65	0.00	0.00	1.43	(1.84)	5.18
ZEMIX	0.69	0.03	(0.10)	(0.17)	0.96	(0.67)	1.48	(1.96)	4.20
EPASX	0.74	0.01	(0.12)	0.04	0.99	(0.79)	1.52	(1.67)	6.54
REMVX	0.85	(0.02)	0.00	0.31	0.00	0.00	1.74	(2.04)	6.85

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