Green Century Correlations

GCINX Fund

USD 14.13 0.05 0.35%

The current 90-days correlation between Green Century Msci and Vanguard Total International is 0.94 (i.e., Almost no 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

Very weak diversification

The correlation between Green Century Msci and DJI is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Green Century Msci 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 Msci. 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 board of governors.

Moving together with Green Mutual Fund

1.0	GCIFX	Green Century Msci	Pair Corr
0.87	VGTSX	Vanguard Total Inter	Pair Corr
0.87	VTIAX	Vanguard Total Inter	Pair Corr
0.87	VTSNX	Vanguard Total Inter	Pair Corr
0.87	VTPSX	Vanguard Total Inter	Pair Corr
0.87	VTISX	Vanguard Total Inter	Pair Corr
0.98	VTMGX	Vanguard Developed	Pair Corr
0.91	VDVIX	Vanguard Developed	Pair Corr
0.98	VTMNX	Vanguard Developed	Pair Corr
0.98	VDIPX	Vanguard Developed	Pair Corr
0.91	FSPSX	Fidelity International	Pair Corr

Moving against Green Mutual Fund

0.54	GCEUX	Green Century Equity	Pair Corr
0.53	VFIAX	Vanguard 500 Index	Pair Corr
0.52	VTSAX	Vanguard Total Stock	Pair Corr
0.5	GCEQX	Green Century Equity	Pair Corr
0.74	FFRHX	Fidelity Advisor Floating	Pair Corr
0.67	NML	Neuberger Berman Mlp	Pair Corr
0.64	CPLIX	Calamos Phineus Longshort	Pair Corr
0.53	VFINX	Vanguard 500 Index	Pair Corr
0.53	FSKAX	Fidelity Total Market	Pair Corr
0.52	VTSMX	Vanguard Total Stock	Pair Corr
0.52	VSMPX	Vanguard Total Stock	Pair Corr
0.52	VSTSX	Vanguard Total Stock	Pair Corr
0.52	VITSX	Vanguard Total Stock	Pair Corr
0.52	BPIRX	Boston Partners Longshort	Pair Corr
0.49	VFFSX	Vanguard 500 Index	Pair Corr
0.47	PRWAX	T Rowe Price	Pair Corr
0.7	NUSAX	Nationwide Government	Pair Corr
0.6	AMGOX	Alger Mid Cap	Pair Corr
0.59	ABVCX	Ab Value Fund	Pair Corr
0.56	TWQZX	Transamerica Large Cap	Pair Corr

Related Correlations Analysis

	VGTSX	VTIAX	VTSNX	VTPSX	VTISX	VTMGX	VDVIX	VTMNX	VDIPX	FSPSX
VGTSX		1.0	1.0	1.0	1.0	0.91	0.85	0.91	0.91	0.83	VGTSX
VTIAX	1.0		1.0	1.0	1.0	0.91	0.85	0.91	0.91	0.83	VTIAX
VTSNX	1.0	1.0		1.0	1.0	0.91	0.84	0.91	0.91	0.82	VTSNX
VTPSX	1.0	1.0	1.0		1.0	0.91	0.84	0.91	0.91	0.82	VTPSX
VTISX	1.0	1.0	1.0	1.0		0.91	0.84	0.91	0.9	0.82	VTISX
VTMGX	0.91	0.91	0.91	0.91	0.91		0.93	1.0	1.0	0.93	VTMGX
VDVIX	0.85	0.85	0.84	0.84	0.84	0.93		0.93	0.93	1.0	VDVIX
VTMNX	0.91	0.91	0.91	0.91	0.91	1.0	0.93		1.0	0.93	VTMNX
VDIPX	0.91	0.91	0.91	0.91	0.9	1.0	0.93	1.0		0.93	VDIPX
FSPSX	0.83	0.83	0.82	0.82	0.82	0.93	1.0	0.93	0.93		FSPSX
	VGTSX	VTIAX	VTSNX	VTPSX	VTISX	VTMGX	VDVIX	VTMNX	VDIPX	FSPSX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
VGTSX	0.62	(0.11)	(0.13)	1.15	(1.56)	4.09
VTIAX	0.62	(0.11)	(0.12)	1.15	(1.59)	4.11
VTSNX	0.61	(0.11)	(0.13)	1.15	(1.57)	4.08
VTPSX	0.61	(0.11)	(0.13)	1.14	(1.57)	4.08
VTISX	0.61	(0.11)	(0.12)	1.14	(1.57)	4.09
VTMGX	0.63	(0.14)	(0.17)	0.98	(1.49)	3.94
VDVIX	0.64	(0.08)	1.82	0.96	(1.52)	4.01
VTMNX	0.63	(0.14)	(0.17)	0.99	(1.55)	3.94
VDIPX	0.63	(0.14)	(0.17)	1.02	(1.50)	3.93
FSPSX	0.65	(0.09)	1.89	0.91	(1.64)	4.06

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