Total Return Correlations

MNTRX Fund

USD 11.13 0.04 0.36%

The current 90-days correlation between Total Return Bond and Goldman Sachs Government is 0.98 (i.e., Almost no diversification). The correlation of Total Return 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.

Total Return Correlation With Market

Good diversification

The correlation between Total Return Bond and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Total Return Bond 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 Total Return Bond. 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 metropolitan statistical area.

Moving together with Total Mutual Fund

0.61	DHICX	Wells Fargo Advantage	Pair Corr
0.61	SSTVX	Wells Fargo Short	Pair Corr
0.74	WSGIX	Wells Fargo Short	Pair Corr
0.65	WSICX	Wells Fargo Strategic	Pair Corr
0.99	STYAX	Wells Fargo Income	Pair Corr
0.67	SCTAX	California Tax Free	Pair Corr
0.72	SCTCX	California Tax Free	Pair Corr

Moving against Total Mutual Fund

0.68	SADIX	Wells Fargo Ultra	Pair Corr
0.63	SADAX	Wells Fargo Ultra	Pair Corr
0.56	WSCOX	Wells Fargo Advantage	Pair Corr
0.54	SSTHX	Wells Fargo Short	Pair Corr
0.47	WSCGX	Small Pany Growth	Pair Corr
0.75	STAFX	Wells Fargo Large	Pair Corr
0.75	STDFX	Wells Fargo Large	Pair Corr
0.75	STNFX	Wells Fargo Large	Pair Corr
0.74	STOFX	Wells Fargo Large	Pair Corr
0.47	STSAX	Wells Fargo Mon	Pair Corr
0.46	WSMCX	Small Pany Growth	Pair Corr
0.64	SCVAX	Small Pany Value	Pair Corr
0.64	SCVIX	Small Pany Value	Pair Corr
0.64	SCVFX	Small Pany Value	Pair Corr
0.64	SCVNX	Small Pany Value	Pair Corr
0.54	STYIX	Wells Fargo Short	Pair Corr
0.46	SCNSX	Wells Fargo Mon	Pair Corr

Related Correlations Analysis

	GSOSX	RYAQX	DACGX	FHNFX	DIPXX	FISAX	TWACX
GSOSX		-0.96	0.96	0.97	-0.79	0.39	0.95	GSOSX
RYAQX	-0.96		-0.96	-0.98	0.82	-0.31	-0.9	RYAQX
DACGX	0.96	-0.96		0.99	-0.72	0.48	0.94	DACGX
FHNFX	0.97	-0.98	0.99		-0.75	0.46	0.94	FHNFX
DIPXX	-0.79	0.82	-0.72	-0.75		0.0	-0.65	DIPXX
FISAX	0.39	-0.31	0.48	0.46	0.0		0.55	FISAX
TWACX	0.95	-0.9	0.94	0.94	-0.65	0.55		TWACX
	GSOSX	RYAQX	DACGX	FHNFX	DIPXX	FISAX	TWACX

Click cells to compare fundamentals

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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

FHNFX	+ 0.99	DACGX
FHNFX	+ 0.97	GSOSX
DACGX	+ 0.96	GSOSX
TWACX	+ 0.95	GSOSX
TWACX	+ 0.94	DACGX
TWACX	+ 0.94	FHNFX

High negative correlations

FHNFX	- 0.98	RYAQX
DACGX	- 0.96	RYAQX
RYAQX	- 0.96	GSOSX
TWACX	- 0.9	RYAQX
DIPXX	- 0.79	GSOSX
DIPXX	- 0.75	FHNFX

Risk-Adjusted Indicators

There is a big difference between Total Mutual Fund performing well and Total Return 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 Total Return'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
GSOSX	0.22	(0.02)	0.00	0.39	0.00	0.00	0.46	(0.69)	1.40
RYAQX	0.61	0.10	(0.05)	(0.81)	0.65	(0.70)	1.52	(1.27)	5.23
DACGX	0.20	(0.03)	0.00	(0.23)	0.00	0.00	0.39	(0.48)	1.03
FHNFX	0.24	(0.04)	0.00	(0.38)	0.00	0.00	0.54	(0.54)	1.63
DIPXX	0.03	0.01	0.00	(2.04)	0.00	0.00	0.00	0.00	1.01
FISAX	0.07	0.00	(0.74)	0.24	0.00	(0.18)	0.13	(0.13)	0.80
TWACX	0.08	(0.01)	(0.86)	0.43	0.10	(0.14)	0.11	(0.11)	0.78

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