Fuller Thaler Correlations

FTHFX Fund

USD 53.24 0.62 1.18%

The current 90-days correlation between Fuller Thaler Behavioral and Simt Real Estate is 0.26 (i.e., Modest diversification). The correlation of Fuller Thaler 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.

Fuller Thaler Correlation With Market

Almost no diversification

The correlation between Fuller Thaler Behavioral and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral 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 Fuller Thaler Behavioral. 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 Fuller Mutual Fund

1.0	FTHAX	Fuller Thaler Behavioral	Pair Corr
0.96	FTXAX	Fuller Thaler Behavioral	Pair Corr
0.96	FTXCX	Fuller Thaler Behavioral	Pair Corr
0.97	FTZFX	Fuller Thaler Behavioral	Pair Corr
1.0	FTYCX	Fuller Thaler Behavioral	Pair Corr
0.95	VSMAX	Vanguard Small Cap	Pair Corr
0.95	VSCIX	Vanguard Small Cap	Pair Corr
0.95	VSCPX	Vanguard Small Cap	Pair Corr
0.99	NAESX	Vanguard Small Cap	Pair Corr
0.92	FSSNX	Fidelity Small Cap	Pair Corr
0.93	DFSTX	Us Small Cap	Pair Corr
0.98	PASVX	T Rowe Price	Pair Corr
0.93	PRVIX	T Rowe Price	Pair Corr
0.93	TRZVX	T Rowe Price	Pair Corr
0.98	PRSVX	T Rowe Price	Pair Corr
0.87	FTCAX	Templeton Strained Bond	Pair Corr
0.87	PYAIX	Payden Absolute Return	Pair Corr
0.88	PYARX	Payden Absolute Return	Pair Corr
0.84	BCAAX	Brandywineglobal C	Pair Corr
0.96	AGTHX	Growth Fund	Pair Corr
0.96	VSMVX	Vanguard Sp Small	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.95	VWENX	Vanguard Wellington	Pair Corr
0.95	VTMFX	Vanguard Tax Managed	Pair Corr
0.97	WBCIX	William Blair Small	Pair Corr
0.98	SMERX	Invesco Small Cap	Pair Corr
0.93	LTFOX	Lord Abbett Affiliated	Pair Corr
0.86	GAB	Gabelli Equity Trust	Pair Corr
0.95	VEIPX	Vanguard Equity Income	Pair Corr
0.97	VTSAX	Vanguard Total Stock	Pair Corr
0.96	INDEX	Sp 500 Equal	Pair Corr
0.93	RWSIX	Redwood Systematic Macro	Pair Corr
0.67	VMIAX	Vanguard Materials Index	Pair Corr
0.92	SCRYX	Small Cap Core	Pair Corr

Moving against Fuller Mutual Fund

0.93	USPSX	Profunds Ultrashort	Pair Corr
0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.93	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	SEIRX	CNREX	FREEX	MSRDX	PRKAX	CREYX	DAREX	PNDIX
SEIRX		0.72	0.84	0.63	0.69	0.99	0.7	0.41	SEIRX
CNREX	0.72		0.71	0.62	0.83	0.76	0.92	0.2	CNREX
FREEX	0.84	0.71		0.64	0.66	0.88	0.75	-0.09	FREEX
MSRDX	0.63	0.62	0.64		0.72	0.63	0.52	0.14	MSRDX
PRKAX	0.69	0.83	0.66	0.72		0.73	0.83	0.33	PRKAX
CREYX	0.99	0.76	0.88	0.63	0.73		0.76	0.35	CREYX
DAREX	0.7	0.92	0.75	0.52	0.83	0.76		0.13	DAREX
PNDIX	0.41	0.2	-0.09	0.14	0.33	0.35	0.13		PNDIX
	SEIRX	CNREX	FREEX	MSRDX	PRKAX	CREYX	DAREX	PNDIX

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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

CREYX	+ 0.99	SEIRX
DAREX	+ 0.92	CNREX
CREYX	+ 0.88	FREEX
FREEX	+ 0.84	SEIRX
PRKAX	+ 0.83	CNREX
DAREX	+ 0.83	PRKAX

High negative correlations

PNDIX

- 0.09

FREEX

Risk-Adjusted Indicators

There is a big difference between Fuller Mutual Fund performing well and Fuller Thaler 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 Fuller Thaler'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
SEIRX	0.68	0.06	(0.04)	0.35	0.71	(0.79)	1.39	(1.27)	3.76
CNREX	0.62	0.03	(0.06)	0.19	0.75	(0.66)	1.22	(1.53)	4.85
FREEX	0.68	0.05	(0.07)	0.78	0.80	(0.71)	1.25	(1.24)	4.09
MSRDX	0.41	0.04	(0.09)	1.16	0.42	(0.65)	1.11	(0.86)	3.75
PRKAX	0.55	0.07	(0.06)	1.17	0.55	(0.66)	1.02	(1.24)	3.53
CREYX	0.68	0.05	(0.05)	0.32	0.75	(0.76)	1.43	(1.31)	3.74
DAREX	0.69	0.00	(0.07)	0.12	0.82	(0.72)	1.37	(1.56)	4.21
PNDIX	0.04	0.02	0.00	(18.85)	0.00	0.00	0.10	0.00	0.10

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