Green Century Correlations

GCEQX Fund

USD 91.80 0.58 0.63%

The current 90-days correlation between Green Century Equity and Green Century Balanced is 0.65 (i.e., Poor diversification). The correlation of Green Century 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.

Green Century Correlation With Market

Modest diversification

The correlation between Green Century Equity and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Green Century Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Green Century 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 producer price index.

Moving together with Green Mutual Fund

0.99	GCEUX	Green Century Equity	Pair Corr
0.88	VTSAX	Vanguard Total Stock	Pair Corr
0.86	VFIAX	Vanguard 500 Index	Pair Corr
0.88	VTSMX	Vanguard Total Stock	Pair Corr
0.88	VITSX	Vanguard Total Stock	Pair Corr
0.88	VSMPX	Vanguard Total Stock	Pair Corr
0.88	VSTSX	Vanguard Total Stock	Pair Corr
0.87	VFINX	Vanguard 500 Index	Pair Corr
0.86	VFFSX	Vanguard 500 Index	Pair Corr
0.95	VINIX	Vanguard Institutional	Pair Corr
0.95	VIIIX	Vanguard Institutional	Pair Corr
0.71	CISGX	Touchstone Sands Capital	Pair Corr
0.7	JHBCX	Jhancock Blue Chip	Pair Corr
0.84	OBSOX	Oberweis Small Cap	Pair Corr
0.85	RBENX	American Funds 2060	Pair Corr
0.82	NCLEX	Nicholas Edition	Pair Corr
0.91	VGOSX	Voya Large Cap	Pair Corr
0.7	WISEX	Azzad Wise Capital	Pair Corr
0.7	WEIAX	Teton Vertible Securities	Pair Corr

Moving against Green Mutual Fund

0.45

BCMIX

Brown Capital

Pair Corr

Related Correlations Analysis

	GCBLX	PORTX	NALFX	PXWGX	DSEFX
GCBLX		0.75	0.67	0.9	0.79	GCBLX
PORTX	0.75		0.83	0.84	0.59	PORTX
NALFX	0.67	0.83		0.73	0.41	NALFX
PXWGX	0.9	0.84	0.73		0.79	PXWGX
DSEFX	0.79	0.59	0.41	0.79		DSEFX
	GCBLX	PORTX	NALFX	PXWGX	DSEFX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Green Mutual Fund performing well and Green Century 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 Green Century'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
GCBLX	0.49	(0.13)	0.00	(0.25)	0.00	0.00	0.67	(1.23)	7.29
PORTX	0.68	(0.19)	0.00	(0.35)	0.00	0.00	0.92	(1.34)	10.66
NALFX	0.80	(0.22)	0.00	(0.63)	0.00	0.00	1.17	(2.27)	6.13
PXWGX	0.78	(0.20)	0.00	(0.60)	0.00	0.00	1.08	(1.71)	13.18
DSEFX	0.75	(0.03)	(0.05)	(0.01)	1.69	(0.68)	1.19	(1.69)	9.87

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