Defensive Market Correlations

GDMYX Fund

USD 12.80 0.05 0.39%

The current 90-days correlation between Defensive Market Str and Aqr Large Cap is 0.88 (i.e., Very poor diversification). The correlation of Defensive Market 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.

Defensive Market Correlation With Market

Very poor diversification

The correlation between Defensive Market Strategies and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Defensive Market Strategies 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 Defensive Market Strategies. 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 manufacturing.

Moving together with Defensive Mutual Fund

0.85	GCOZX	Growth Allocation	Pair Corr
1.0	GDMZX	Defensive Market Str	Pair Corr
0.98	GVEYX	Value Equity Institu	Pair Corr
0.94	GVEZX	Value Equity Investor	Pair Corr
0.94	GVIYX	Guidestone Value Equity	Pair Corr
0.94	GVIZX	Guidestone Value Equity	Pair Corr
0.95	GEIYX	Guidestone Growth Equity	Pair Corr
0.95	GEIZX	Guidestone Growth Equity	Pair Corr
0.98	GEQYX	Equity Index Institu	Pair Corr
0.94	GEQZX	Equity Index Investor	Pair Corr
0.68	GFIZX	Conservative Allocation	Pair Corr
0.82	GFSYX	Strategic Alternatives	Pair Corr
0.88	GGBZX	Aggressive Allocation	Pair Corr
0.96	GGEYX	Guidestone Fds Growth	Pair Corr
0.91	GGEZX	Growth Equity Investor	Pair Corr
0.73	GGIZX	Balanced Allocation	Pair Corr
0.9	GGRYX	Growth Allocation	Pair Corr
0.86	GMFZX	Mydestination 2045	Pair Corr
0.86	GMHYX	Mydestination 2035	Pair Corr
0.86	GMHZX	Mydestination 2035	Pair Corr
0.88	GMGYX	Mydestination 2055	Pair Corr
0.92	GMGZX	Mydestination 2055	Pair Corr
0.73	GMWYX	Mydestination 2025	Pair Corr
0.71	GMWZX	Mydestination 2025	Pair Corr

Moving against Defensive Mutual Fund

0.55	GGBFX	Global Bond Fund	Pair Corr
0.52	GGBEX	Global Bond Fund	Pair Corr
0.62	GMDZX	Medium Duration Bond	Pair Corr
0.6	GMDYX	Medium Duration Bond	Pair Corr
0.6	GMBYX	Guidestone Funds	Pair Corr
0.6	GMBZX	Guidestone Funds	Pair Corr
0.33	GIIYX	International Equity	Pair Corr

Related Correlations Analysis

	AMONX	JDVNX	ILESX	TVFDX	TRLGX	MMLRX	FLUEX
AMONX		0.94	0.96	0.86	0.99	0.99	0.96	AMONX
JDVNX	0.94		0.98	0.82	0.92	0.94	0.94	JDVNX
ILESX	0.96	0.98		0.87	0.95	0.95	0.93	ILESX
TVFDX	0.86	0.82	0.87		0.82	0.83	0.84	TVFDX
TRLGX	0.99	0.92	0.95	0.82		0.99	0.93	TRLGX
MMLRX	0.99	0.94	0.95	0.83	0.99		0.97	MMLRX
FLUEX	0.96	0.94	0.93	0.84	0.93	0.97		FLUEX
	AMONX	JDVNX	ILESX	TVFDX	TRLGX	MMLRX	FLUEX

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Risk-Adjusted Indicators

There is a big difference between Defensive Mutual Fund performing well and Defensive Market 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 Defensive Market'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
AMONX	0.72	0.02	0.03	0.12	0.88	(0.77)	1.63	(1.30)	4.55
JDVNX	0.58	0.10	0.00	(2.43)	0.51	(0.72)	1.19	(0.99)	5.12
ILESX	0.66	0.11	0.01	(1.33)	0.82	(0.73)	1.42	(1.43)	4.75
TVFDX	0.38	0.06	(0.07)	(0.48)	0.40	(0.59)	1.06	(0.83)	2.60
TRLGX	0.69	0.00	(0.01)	0.10	0.99	(0.63)	1.50	(1.94)	4.73
MMLRX	0.53	(0.01)	(0.03)	0.09	0.65	(0.57)	1.05	(1.43)	3.88
FLUEX	0.51	0.03	0.02	0.14	0.31	(0.66)	1.14	(0.88)	3.46

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