Massmutual Select Correlations

MBCNX Fund

USD 15.96 0.15 0.95%

The current 90-days correlation between Massmutual Select Blue and Massmutual Select Mid is 0.27 (i.e., Modest diversification). The correlation of Massmutual Select 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.

Massmutual Select Correlation With Market

Weak diversification

The correlation between Massmutual Select Blue and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Blue 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 Massmutual Select Blue. 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 against Massmutual Mutual Fund

0.48	MMARX	Massmutual Retiresmart	Pair Corr
0.44	MMBVX	Massmutual Select	Pair Corr
0.44	MMBZX	Massmutual Select	Pair Corr
0.44	MMBYX	Massmutual Select	Pair Corr
0.43	MMBWX	Massmutual Select	Pair Corr
0.42	MMDHX	Massmutual Select	Pair Corr
0.39	MMDFX	Massmutual Select	Pair Corr
0.39	MMDDX	Massmutual Select	Pair Corr
0.39	MMDJX	Massmutual Select	Pair Corr
0.39	MMDGX	Massmutual Select	Pair Corr
0.39	MMDMX	Massmutual Select	Pair Corr
0.39	MMDKX	Massmutual Select	Pair Corr
0.39	MMDOX	Massmutual Select	Pair Corr
0.39	MMFZX	Massmutual Select	Pair Corr
0.39	MMFWX	Massmutual Select	Pair Corr
0.34	MMBDX	Massmutual Premier	Pair Corr
0.45	MMFGX	Massmutual Select	Pair Corr
0.44	MMFBX	Massmutual Select	Pair Corr
0.43	MMFEX	Massmutual Select	Pair Corr
0.43	MMFDX	Massmutual Select	Pair Corr
0.43	MMFJX	Massmutual Select	Pair Corr
0.42	MMFHX	Massmutual Select	Pair Corr

Related Correlations Analysis

	MLUAX	MLUFX	MLUNX	MLULX	MLUSX	MLUZX	MLUYX	MMAAX	MMBRX	MMBVX
MLUAX		1.0	1.0	1.0	1.0	1.0	1.0	-0.54	0.87	0.71	MLUAX
MLUFX	1.0		1.0	1.0	1.0	1.0	1.0	-0.54	0.87	0.71	MLUFX
MLUNX	1.0	1.0		1.0	1.0	1.0	1.0	-0.54	0.87	0.71	MLUNX
MLULX	1.0	1.0	1.0		1.0	1.0	1.0	-0.54	0.87	0.71	MLULX
MLUSX	1.0	1.0	1.0	1.0		1.0	1.0	-0.55	0.87	0.71	MLUSX
MLUZX	1.0	1.0	1.0	1.0	1.0		1.0	-0.54	0.87	0.71	MLUZX
MLUYX	1.0	1.0	1.0	1.0	1.0	1.0		-0.54	0.87	0.71	MLUYX
MMAAX	-0.54	-0.54	-0.54	-0.54	-0.55	-0.54	-0.54		-0.65	-0.59	MMAAX
MMBRX	0.87	0.87	0.87	0.87	0.87	0.87	0.87	-0.65		0.91	MMBRX
MMBVX	0.71	0.71	0.71	0.71	0.71	0.71	0.71	-0.59	0.91		MMBVX
	MLUAX	MLUFX	MLUNX	MLULX	MLUSX	MLUZX	MLUYX	MMAAX	MMBRX	MMBVX

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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

MLUFX	+ 1.0	MLUAX
MLUNX	+ 1.0	MLUAX
MLULX	+ 1.0	MLUAX
MLUSX	+ 1.0	MLUAX
MLUZX	+ 1.0	MLUAX
MLUYX	+ 1.0	MLUAX

High negative correlations

MMBRX	- 0.65	MMAAX
MMBVX	- 0.59	MMAAX
MMAAX	- 0.55	MLUSX
MMAAX	- 0.54	MLUYX
MMAAX	- 0.54	MLUZX
MMAAX	- 0.54	MLULX

Risk-Adjusted Indicators

There is a big difference between Massmutual Mutual Fund performing well and Massmutual Select 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 Massmutual Select'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
MLUAX	0.54	(0.01)	(0.06)	0.12	0.45	(0.64)	1.10	(0.85)	3.27
MLUFX	0.54	0.00	(0.06)	0.12	0.45	(0.62)	1.10	(0.86)	3.18
MLUNX	0.53	0.00	(0.06)	0.12	0.44	(0.62)	1.05	(0.87)	3.27
MLULX	0.53	0.00	(0.06)	0.12	0.44	(0.62)	1.08	(0.83)	3.19
MLUSX	0.54	0.00	(0.05)	0.12	0.46	(0.62)	1.10	(0.92)	3.25
MLUZX	0.54	0.00	(0.05)	0.12	0.44	(0.62)	1.12	(0.93)	3.23
MLUYX	0.54	0.00	(0.06)	0.12	0.44	(0.62)	1.11	(0.85)	3.21
MMAAX	1.19	(0.47)	0.00	2.46	0.00	0.00	1.16	(1.10)	37.34
MMBRX	0.36	(0.01)	(0.15)	0.11	0.36	(0.40)	0.77	(0.76)	2.00
MMBVX	0.25	(0.02)	(0.28)	0.08	0.26	(0.27)	0.48	(0.55)	1.36

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