Fuller Thaler Correlations

FTXFX Fund

USD 49.71 0.96 1.97%

The current 90-days correlation between Fuller Thaler Behavioral and Commonwealth Real Estate is 0.46 (i.e., Very weak 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

Poor diversification

The correlation between Fuller Thaler Behavioral and DJI is 0.77 (i.e., Poor 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

0.83	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.83	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.84	FTMSX	Fuller Thaler Behavioral	Pair Corr
0.77	FTSAX	Fuller Thaler Behavioral	Pair Corr
0.83	FTSIX	Fuller Thaler Behavioral	Pair Corr
0.68	FTVCX	Fuller Thaler Behavioral	Pair Corr
0.68	FTVNX	Fuller Thaler Behavioral	Pair Corr
0.69	FTVSX	Fuller Thaler Behavioral	Pair Corr
0.61	FTVZX	Fuller Thaler Behavioral	Pair Corr
0.8	FTZAX	Fuller Thaler Behavioral	Pair Corr
0.8	FTZCX	Fuller Thaler Behavioral	Pair Corr
0.8	FTZIX	Fuller Thaler Behavioral	Pair Corr
1.0	FTXNX	Fuller Thaler Behavioral	Pair Corr
1.0	FTXSX	Fuller Thaler Behavioral	Pair Corr
0.86	VSGAX	Vanguard Small Cap	Pair Corr
0.86	VSGIX	Vanguard Small Cap	Pair Corr
0.86	VISGX	Vanguard Small Cap	Pair Corr
0.86	VEXPX	Vanguard Explorer	Pair Corr
0.86	VEXRX	Vanguard Explorer	Pair Corr
0.81	JGMIX	Janus Triton	Pair Corr
0.81	JGMRX	Janus Triton	Pair Corr
0.81	JGMAX	Janus Triton	Pair Corr
0.81	JGMCX	Janus Triton	Pair Corr
0.81	JGMNX	Janus Triton	Pair Corr
0.8	AGTHX	Growth Fund	Pair Corr
0.79	INDEX	Sp 500 Equal	Pair Corr
0.73	FPURX	Fidelity Puritan	Pair Corr
0.74	LTFOX	Lord Abbett Affiliated	Pair Corr
0.76	SCRYX	Small Cap Core	Pair Corr
0.78	CMEUX	Six Circles Managed	Pair Corr
0.74	FCNTX	Fidelity Contrafund	Pair Corr

Moving against Fuller Mutual Fund

0.34	PFHCX	Pacific Funds Small	Pair Corr
0.32	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	CNREX	TIREX	MXREX	FORFX	SEIRX	MSURX
CNREX		0.6	0.65	0.26	0.72	0.43	CNREX
TIREX	0.6		0.77	0.0	0.87	0.38	TIREX
MXREX	0.65	0.77		0.18	0.78	0.59	MXREX
FORFX	0.26	0.0	0.18		0.47	0.77	FORFX
SEIRX	0.72	0.87	0.78	0.47		0.69	SEIRX
MSURX	0.43	0.38	0.59	0.77	0.69		MSURX
	CNREX	TIREX	MXREX	FORFX	SEIRX	MSURX

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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

SEIRX	+ 0.87	TIREX
SEIRX	+ 0.78	MXREX
MXREX	+ 0.77	TIREX
MSURX	+ 0.77	FORFX
SEIRX	+ 0.72	CNREX
MSURX	+ 0.69	SEIRX

High negative correlations

FORFX

- 0.0

TIREX

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
CNREX	0.62	0.03	(0.06)	0.19	0.75	(0.66)	1.22	(1.53)	4.85
TIREX	0.70	0.04	(0.08)	0.38	0.78	(0.79)	1.38	(1.36)	3.82
MXREX	0.66	0.04	(0.09)	0.56	0.73	(0.74)	1.34	(1.06)	3.82
FORFX	0.05	0.04	0.00	12.11	0.00	0.00	0.11	0.00	0.21
SEIRX	0.68	0.06	(0.04)	0.35	0.71	(0.79)	1.39	(1.27)	3.76
MSURX	0.46	0.09	(0.04)	(49.12)	0.35	(0.74)	1.16	(0.83)	3.64

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