Essex Environmental Correlations

GEOSX Fund

USD 14.46 0.18 1.26%

The current 90-days correlation between Essex Environmental and Pear Tree Essex is 1.0 (i.e., No risk reduction). The correlation of Essex Environmental 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.

Essex Environmental Correlation With Market

Poor diversification

The correlation between Essex Environmental Opportunit and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Essex Environmental Opportunit 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 Essex Environmental Opportunities. 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 state.

Moving together with Essex Mutual Fund

1.0	GEORX	Pear Tree Essex	Pair Corr
0.87	USBOX	Pear Tree Quality	Pair Corr
0.77	USBNX	Pear Tree Polaris	Pair Corr
0.77	QBNAX	Pear Tree Polaris	Pair Corr
0.88	QGIAX	Pear Tree Quality	Pair Corr
0.87	PAMCX	T Rowe Price	Pair Corr
0.87	RRMGX	T Rowe Price	Pair Corr
0.87	TRQZX	T Rowe Price	Pair Corr
0.87	RPMGX	T Rowe Price	Pair Corr
0.77	PRJIX	T Rowe Price	Pair Corr
0.77	PRNHX	T Rowe Price	Pair Corr
0.77	TRUZX	T Rowe Price	Pair Corr
0.82	PCBIX	Midcap Fund Institutional	Pair Corr
0.82	PEMGX	Midcap Fund Class	Pair Corr
0.82	PMBCX	Midcap Fund Class	Pair Corr
0.68	PDI	Pimco Dynamic Income	Pair Corr
0.86	VIIIX	Vanguard Institutional	Pair Corr
0.93	RFNFX	American Funds Funda	Pair Corr
0.75	AVEMX	Ave Maria Value Steady Growth	Pair Corr
0.76	NMT	Nuveen Massachusetts	Pair Corr
0.78	FSSNX	Fidelity Small Cap	Pair Corr
0.69	RA	Brookfield Real Assets	Pair Corr
0.82	GMDFX	Gmo Emerging Country	Pair Corr
0.9	JABRX	Janus Balanced	Pair Corr
0.84	FOCPX	Fidelity Otc Portfolio	Pair Corr
0.8	STARX	Astor Star Fund	Pair Corr
0.75	GOPIX	Aberdeen China Oppty	Pair Corr

Moving against Essex Mutual Fund

0.32	QUSOX	Pear Tree Polaris	Pair Corr
0.32	QUSIX	Pear Tree Polaris	Pair Corr
0.74	PFHCX	Pacific Funds Small	Pair Corr

Related Correlations Analysis

	GEORX	GEOSX	USBOX	USBNX	QBNAX	QUSOX	QUSIX	QUSRX	QFVIX
GEORX		1.0	0.87	0.77	0.77	-0.32	-0.32	-0.27	-0.14	GEORX
GEOSX	1.0		0.87	0.77	0.77	-0.32	-0.32	-0.27	-0.14	GEOSX
USBOX	0.87	0.87		0.64	0.64	-0.09	-0.08	0.0	0.09	USBOX
USBNX	0.77	0.77	0.64		1.0	-0.57	-0.57	-0.53	-0.46	USBNX
QBNAX	0.77	0.77	0.64	1.0		-0.58	-0.57	-0.53	-0.47	QBNAX
QUSOX	-0.32	-0.32	-0.09	-0.57	-0.58		1.0	0.84	0.97	QUSOX
QUSIX	-0.32	-0.32	-0.08	-0.57	-0.57	1.0		0.84	0.97	QUSIX
QUSRX	-0.27	-0.27	0.0	-0.53	-0.53	0.84	0.84		0.84	QUSRX
QFVIX	-0.14	-0.14	0.09	-0.46	-0.47	0.97	0.97	0.84		QFVIX
	GEORX	GEOSX	USBOX	USBNX	QBNAX	QUSOX	QUSIX	QUSRX	QFVIX

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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

GEOSX	+ 1.0	GEORX
QBNAX	+ 1.0	USBNX
QUSIX	+ 1.0	QUSOX
QFVIX	+ 0.97	QUSOX
QFVIX	+ 0.97	QUSIX
USBOX	+ 0.87	GEORX

High negative correlations

QUSOX	- 0.58	QBNAX
QUSIX	- 0.57	QBNAX
QUSIX	- 0.57	USBNX
QUSOX	- 0.57	USBNX
QUSRX	- 0.53	QBNAX
QUSRX	- 0.53	USBNX

Risk-Adjusted Indicators

There is a big difference between Essex Mutual Fund performing well and Essex Environmental 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 Essex Environmental'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
GEORX	0.97	(0.04)	(0.03)	0.09	1.15	(1.07)	2.01	(1.66)	5.88
GEOSX	0.96	(0.04)	(0.03)	0.09	1.14	(1.03)	1.91	(1.75)	5.89
USBOX	0.54	(0.06)	(0.12)	0.03	0.75	(0.52)	1.13	(1.42)	3.38
USBNX	0.89	(0.03)	0.02	0.10	0.75	(1.09)	1.93	(1.35)	7.60
QBNAX	0.89	(0.03)	0.03	0.10	0.75	(1.09)	1.92	(1.39)	7.60
QUSOX	0.57	(0.16)	0.00	(0.46)	0.00	0.00	1.28	(1.37)	3.88
QUSIX	0.57	(0.16)	0.00	(0.46)	0.00	0.00	1.28	(1.37)	3.87
QUSRX	0.56	(0.19)	0.00	(0.77)	0.00	0.00	1.21	(1.42)	3.87
QFVIX	0.58	(0.13)	0.00	(0.24)	0.00	0.00	1.36	(1.49)	3.35

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