Fixed Income Correlations

FXIDX Fund

USD 9.03 0.01 0.11%

The current 90-days correlation between Fixed Income Shares and Dodge Cox Emerging is -0.19 (i.e., Good diversification). The correlation of Fixed Income 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.

Fixed Income Correlation With Market

Poor diversification

The correlation between Fixed Income Shares and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fixed Income Shares 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 Fixed Income Shares. 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 small area income & poverty estimates.

Moving together with Fixed Mutual Fund

0.76	MISHX	Ab Municipal Income	Pair Corr
0.85	LMSMX	Western Asset Smash	Pair Corr
0.9	LMECX	Western Asset Smash	Pair Corr
0.91	FXICX	Fixed Income Shares	Pair Corr
0.78	NMTRX	Municipal Total Return	Pair Corr
0.74	SHRMX	Stone Ridge High	Pair Corr
0.97	BATAX	Blackrock Allocation	Pair Corr
0.87	BRAMX	Bats Series M	Pair Corr
0.89	BRUFX	Bruce Fund Bruce	Pair Corr
0.8	SPGSX	State Street Premier	Pair Corr
0.64	KF	Korea Closed	Pair Corr
0.7	PNAIX	T Rowe Price	Pair Corr
0.7	RMLVX	Moderate Strategy	Pair Corr
0.89	PNMQX	Pgim National Muni	Pair Corr
0.89	NAAEX	Nuveen Short Term	Pair Corr
0.71	PNRCX	Jennison Natural Res Steady Growth	Pair Corr
0.89	SIIIX	Alphacentric Strategic	Pair Corr
0.91	AGEAX	Arbitrage Event	Pair Corr
0.84	HGIYX	Hartford E Equity	Pair Corr
0.85	IENRX	Ivy Energy Fund	Pair Corr
0.74	JOHIX	Johcm International	Pair Corr
0.81	MCFCX	Miller Vertible Bond	Pair Corr
0.66	PDSCX	Prudential Short Duration	Pair Corr
0.67	ISFCX	Lord Abbett Multi	Pair Corr
0.82	RUSTX	Us Strategic Equity	Pair Corr
0.83	RSLBX	Smallcap World	Pair Corr
0.77	YACKX	Amg Yacktman	Pair Corr
0.77	PEQIX	Pioneer Equity Income	Pair Corr
0.88	ARGAX	Arbitrage Fund	Pair Corr
0.77	PIORX	Pioneer Fund Class	Pair Corr
0.75	FOPPX	Franklin Growth Oppo	Pair Corr
0.86	STRYX	Pioneer Strategic Income	Pair Corr

Related Correlations Analysis

	RBLCX	SEKRX	HERAX	QTERX	FEMDX	EPASX	DODEX
RBLCX		0.81	0.86	0.89	0.89	0.82	0.85	RBLCX
SEKRX	0.81		0.97	0.96	0.78	0.92	0.96	SEKRX
HERAX	0.86	0.97		0.97	0.81	0.93	0.96	HERAX
QTERX	0.89	0.96	0.97		0.83	0.92	0.98	QTERX
FEMDX	0.89	0.78	0.81	0.83		0.85	0.85	FEMDX
EPASX	0.82	0.92	0.93	0.92	0.85		0.95	EPASX
DODEX	0.85	0.96	0.96	0.98	0.85	0.95		DODEX
	RBLCX	SEKRX	HERAX	QTERX	FEMDX	EPASX	DODEX

Risk-Adjusted Indicators

There is a big difference between Fixed Mutual Fund performing well and Fixed Income 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 Fixed Income'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
RBLCX	0.41	0.08	0.10	0.23	0.10	(0.54)	0.70	(0.69)	6.46
SEKRX	0.71	0.13	0.09	0.54	0.70	(0.75)	2.16	(1.20)	3.90
HERAX	0.60	0.13	0.11	0.84	0.46	(0.73)	1.11	(0.93)	2.85
QTERX	0.63	0.14	0.16	0.32	0.44	(0.79)	1.27	(1.09)	3.21
FEMDX	0.15	0.07	0.03	0.56	0.00	(0.21)	0.48	(0.24)	1.12
EPASX	0.49	0.09	0.06	0.44	0.38	(0.57)	1.40	(0.78)	3.02
DODEX	0.53	0.14	0.17	0.33	0.25	(0.61)	1.48	(0.86)	2.88

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Fixed Income Correlations

Fixed Income Correlation With Market

Poor diversification

Moving together with Fixed Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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