Lifex Income Correlations

LFFWX Fund

18.06 0.00 0.00%

The current 90-days correlation between Lifex Income and Lifex Inflation Protected Income is 0.85 (i.e., Very poor diversification). The correlation of Lifex Income 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.

Lifex Income Correlation With Market

Good diversification

The correlation between Lifex Income and DJI is -0.08 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lifex Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lifex 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 housing.

Moving together with Lifex Mutual Fund

0.94	LIADX	Lifex Inflation-protec	Pair Corr
0.94	LIAFX	Lifex Inflation-protec	Pair Corr
0.93	LIAKX	Lifex Inflation-protec	Pair Corr
0.94	LIAIX	Lifex Inflation-protec	Pair Corr
0.75	LIAOX	Lifex Inflation-protec	Pair Corr
0.94	LIAMX	Lifex Inflation-protec	Pair Corr
0.95	LIAQX	Lifex Inflation-protec	Pair Corr
0.95	LIAWX	Lifex Inflation-protec	Pair Corr
0.95	LIAUX	Lifex Inflation-protec	Pair Corr
0.76	LIAZX	Lifex Inflation-protec	Pair Corr
0.96	LIBGX	Lifex Inflation-protec	Pair Corr
0.94	LIIFX	Lifex Inflation-protec	Pair Corr
1.0	LFBGX	Lifex Income	Pair Corr
1.0	LFBJX	Lifex Income	Pair Corr
1.0	LFAQX	Lifex Income	Pair Corr
1.0	LFAUX	Lifex Income	Pair Corr
1.0	LFAWX	Lifex Income	Pair Corr
1.0	LFEWX	Lifex Income	Pair Corr
0.68	SRDAX	Stone Ridge Diversified	Pair Corr
0.68	SRDBX	Stone Ridge Diversified	Pair Corr
0.76	MAAYX	Morgan Stanley Focus	Pair Corr

Moving against Lifex Mutual Fund

0.78	PFHCX	Pacific Funds Small	Pair Corr
0.38	PPRWX	Putnam Panagora Risk	Pair Corr
0.37	PPRPX	Putnam Panagora Risk	Pair Corr
0.35	PPROX	Putnam Panagora Risk	Pair Corr

Related Correlations Analysis

	LIADX	LIAFX	LIAKX	LIAOX	LIAQX	LIAWX	LIAUX	LIBGX	LIIMX
LIADX		1.0	0.95	0.72	1.0	1.0	1.0	1.0	-0.16	LIADX
LIAFX	1.0		0.95	0.72	1.0	1.0	1.0	1.0	-0.16	LIAFX
LIAKX	0.95	0.95		0.62	0.96	0.95	0.96	0.95	-0.15	LIAKX
LIAOX	0.72	0.72	0.62		0.73	0.74	0.73	0.74	-0.08	LIAOX
LIAQX	1.0	1.0	0.96	0.73		1.0	1.0	1.0	-0.16	LIAQX
LIAWX	1.0	1.0	0.95	0.74	1.0		1.0	1.0	-0.16	LIAWX
LIAUX	1.0	1.0	0.96	0.73	1.0	1.0		1.0	-0.16	LIAUX
LIBGX	1.0	1.0	0.95	0.74	1.0	1.0	1.0		-0.16	LIBGX
LIIMX	-0.16	-0.16	-0.15	-0.08	-0.16	-0.16	-0.16	-0.16		LIIMX
	LIADX	LIAFX	LIAKX	LIAOX	LIAQX	LIAWX	LIAUX	LIBGX	LIIMX

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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

LIAFX	+ 1.0	LIADX
LIAQX	+ 1.0	LIADX
LIAWX	+ 1.0	LIADX
LIAUX	+ 1.0	LIADX
LIBGX	+ 1.0	LIADX
LIAQX	+ 1.0	LIAFX

High negative correlations

LIIMX	- 0.16	LIBGX
LIIMX	- 0.16	LIAUX
LIIMX	- 0.16	LIAWX
LIIMX	- 0.16	LIAQX
LIIMX	- 0.16	LIAFX
LIIMX	- 0.16	LIADX

Risk-Adjusted Indicators

There is a big difference between Lifex Mutual Fund performing well and Lifex Income 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 Lifex Income'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LIADX	0.07	0.01	0.00	2.53	0.00	0.31	(0.06)	1.11
LIAFX	0.07	0.01	0.00	3.36	0.00	0.29	(0.12)	1.11
LIAKX	0.07	0.00	0.00	0.00	0.00	0.32	(0.05)	1.17
LIAOX	0.05	0.00	0.00	0.00	0.00	0.09	(0.05)	1.27
LIAQX	0.08	0.01	(0.31)	(6.64)	(0.36)	0.36	(0.09)	1.23
LIAWX	0.09	0.00	(0.28)	0.00	(0.38)	0.38	(0.13)	1.32
LIAUX	0.09	0.00	0.00	0.00	0.00	0.35	(0.13)	1.23
LIBGX	0.10	0.01	(0.23)	(3.42)	(0.42)	0.41	(0.19)	1.43
LIIMX	0.35	(0.04)	0.00	0.51	0.00	0.71	(0.97)	2.71

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