Mid Cap Correlations

MLPIX Fund

USD 128.69 0.99 0.78%

The current 90-days correlation between Mid Cap Value and Massmutual Premier Diversified is 0.13 (i.e., Average diversification). The correlation of Mid Cap 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.

Mid Cap Correlation With Market

Almost no diversification

The correlation between Mid Cap Value Profund and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Value Profund 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 Mid Cap Value Profund. 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 gross domestic product.

Moving together with Mid Mutual Fund

0.88	UJPIX	Ultrajapan Profund Steady Growth	Pair Corr
0.96	MLPSX	Mid Cap Value	Pair Corr
0.86	ENPSX	Oil Gas Ultrasector	Pair Corr
0.86	ENPIX	Oil Gas Ultrasector	Pair Corr
0.71	PHPIX	Pharmaceuticals Ultrasector	Pair Corr
0.72	PHPSX	Pharmaceuticals Ultrasector	Pair Corr
0.71	ULPIX	Ultrabull Profund	Pair Corr
0.72	ULPSX	Ultrabull Profund	Pair Corr
0.88	OEPSX	Oil Equipment Services	Pair Corr
0.88	OEPIX	Oil Equipment Services	Pair Corr
0.95	SVPIX	Small Cap Value	Pair Corr
0.95	SVPSX	Small Cap Value	Pair Corr
0.99	UMPSX	Ultramid Cap Profund	Pair Corr
0.99	UMPIX	Ultramid Cap Profund	Pair Corr

Moving against Mid Mutual Fund

0.99	UIPIX	Ultrashort Mid Cap	Pair Corr
0.99	UIPSX	Ultrashort Mid Cap	Pair Corr
0.91	UKPSX	Ultrashort Japan Profund	Pair Corr
0.91	UKPIX	Ultrashort Japan Profund	Pair Corr
0.77	SRPSX	Short Real Estate	Pair Corr
0.72	SRPIX	Short Real Estate	Pair Corr
0.65	BTCFX	Bitcoin Strategy Profund	Pair Corr
0.51	BRPSX	Bear Profund Bear	Pair Corr
0.44	BRPIX	Bear Profund Bear	Pair Corr
0.31	UJPSX	Ultrajapan Profund Steady Growth	Pair Corr
0.71	INPSX	Internet Ultrasector	Pair Corr
0.7	INPIX	Internet Ultrasector	Pair Corr

Related Correlations Analysis

	SIGWX	MDBFX	PASVX	LIGFX	FZABX	JDJRX	MDBLX
SIGWX		0.52	0.94	0.78	0.79	0.5	0.53	SIGWX
MDBFX	0.52		0.69	0.91	0.89	0.88	0.99	MDBFX
PASVX	0.94	0.69		0.88	0.9	0.66	0.7	PASVX
LIGFX	0.78	0.91	0.88		0.99	0.85	0.91	LIGFX
FZABX	0.79	0.89	0.9	0.99		0.85	0.89	FZABX
JDJRX	0.5	0.88	0.66	0.85	0.85		0.91	JDJRX
MDBLX	0.53	0.99	0.7	0.91	0.89	0.91		MDBLX
	SIGWX	MDBFX	PASVX	LIGFX	FZABX	JDJRX	MDBLX

Risk-Adjusted Indicators

There is a big difference between Mid Mutual Fund performing well and Mid Cap 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 Mid Cap'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
SIGWX	0.79	0.09	0.13	0.19	0.56	(0.96)	1.91	(1.31)	7.75
MDBFX	0.12	0.02	(0.50)	1.07	0.00	(0.19)	0.24	(0.24)	0.60
PASVX	0.95	0.25	0.36	0.29	0.13	(1.20)	2.39	(1.41)	14.45
LIGFX	0.23	0.04	(0.15)	0.23	0.00	(0.28)	0.53	(0.35)	1.45
FZABX	0.63	0.16	0.17	0.32	0.41	(0.75)	1.45	(1.17)	4.11
JDJRX	0.42	0.03	(0.09)	0.23	0.43	(0.47)	0.94	(0.81)	2.24
MDBLX	0.12	0.02	(0.49)	1.48	0.00	(0.18)	0.24	(0.24)	0.60

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