The Fixed Correlations

HCHYX Fund

USD 7.40 0.02 0.27%

The current 90-days correlation between Fixed Income and Vanguard Total Stock is 0.7 (i.e., Poor diversification). The correlation of The Fixed 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.

The Fixed Correlation With Market

Poor diversification

The correlation between The Fixed Income and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Fixed Income 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 The Fixed Income. 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 THE Mutual Fund

0.78

MMM

3M Company Fiscal Year End 28th of January 2025

Pair Corr

Moving against THE Mutual Fund

0.32

JPM

JPMorgan Chase Sell-off Trend

Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX
VTSAX		1.0	1.0	1.0	1.0	1.0	1.0	1.0	-0.25	-0.25	VTSAX
VFIAX	1.0		1.0	1.0	1.0	1.0	1.0	1.0	-0.21	-0.21	VFIAX
VTSMX	1.0	1.0		1.0	1.0	1.0	1.0	1.0	-0.25	-0.25	VTSMX
VITSX	1.0	1.0	1.0		1.0	1.0	1.0	1.0	-0.25	-0.25	VITSX
VSTSX	1.0	1.0	1.0	1.0		1.0	1.0	1.0	-0.25	-0.25	VSTSX
VSMPX	1.0	1.0	1.0	1.0	1.0		1.0	1.0	-0.25	-0.25	VSMPX
VFINX	1.0	1.0	1.0	1.0	1.0	1.0		1.0	-0.21	-0.2	VFINX
VFFSX	1.0	1.0	1.0	1.0	1.0	1.0	1.0		-0.21	-0.21	VFFSX
VGTSX	-0.25	-0.21	-0.25	-0.25	-0.25	-0.25	-0.21	-0.21		1.0	VGTSX
VTIAX	-0.25	-0.21	-0.25	-0.25	-0.25	-0.25	-0.2	-0.21	1.0		VTIAX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX

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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

VFIAX	+ 1.0	VTSAX
VTSMX	+ 1.0	VTSAX
VITSX	+ 1.0	VTSAX
VSTSX	+ 1.0	VTSAX
VSMPX	+ 1.0	VTSAX
VFINX	+ 1.0	VTSAX

High negative correlations

VTIAX	- 0.25	VSMPX
VGTSX	- 0.25	VSMPX
VTIAX	- 0.25	VSTSX
VGTSX	- 0.25	VSTSX
VTIAX	- 0.25	VITSX
VGTSX	- 0.25	VITSX

Risk-Adjusted Indicators

There is a big difference between THE Mutual Fund performing well and The Fixed 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 The Fixed'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
VTSAX	0.57	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.31)	4.11
VFIAX	0.55	0.01	(0.02)	0.14	0.65	(0.56)	1.17	(1.31)	3.84
VTSMX	0.56	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.31)	4.11
VITSX	0.57	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.31)	4.11
VSTSX	0.57	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.31)	4.11
VSMPX	0.57	0.01	0.00	0.14	0.65	(0.61)	1.10	(1.30)	4.11
VFINX	0.55	0.01	(0.02)	0.14	0.65	(0.57)	1.17	(1.31)	3.84
VFFSX	0.55	0.01	(0.02)	0.14	0.65	(0.56)	1.17	(1.31)	3.84
VGTSX	0.62	(0.09)	0.00	(0.08)	0.00	0.00	1.15	(1.56)	4.09
VTIAX	0.62	(0.09)	0.00	(0.08)	0.00	0.00	1.15	(1.59)	4.11

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