High Yield Correlations

MSYIX Fund

USD 8.59 0.02 0.23%

The current 90-days correlation between High Yield Portfolio and Gmo Global Equity is 0.42 (i.e., Very weak diversification). The correlation of High Yield 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.

High Yield Correlation With Market

Modest diversification

The correlation between High Yield Portfolio and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding High Yield Portfolio 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 High Yield Portfolio. 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 High Mutual Fund

0.81	DINDX	Global Fixed Income	Pair Corr
0.79	DINCX	Global Fixed Income	Pair Corr
0.92	DINAX	Global Fixed Income	Pair Corr
0.64	MLMAX	Global E Portfolio	Pair Corr
0.61	MLMCX	Global E Portfolio	Pair Corr
0.65	MLMIX	Global E Portfolio	Pair Corr
0.64	MLMSX	Global E Portfolio	Pair Corr
0.91	MMCGX	Mid Cap Growth	Pair Corr
0.94	THYUX	High Yield Fund	Pair Corr
0.76	TIFUX	International Fixed	Pair Corr
0.87	MORGX	Morgan Stanley Mortgage	Pair Corr
0.91	MPAIX	Advantage Portfolio Class	Pair Corr
0.91	MPEGX	Mid Cap Growth	Pair Corr
1.0	MRHYX	Msift High Yield	Pair Corr
0.91	MADSX	Msif Advantage Port	Pair Corr
0.9	MACGX	Mid Cap Growth	Pair Corr

Moving against High Mutual Fund

0.57	TIEUX	International Equity	Pair Corr
0.49	TEMUX	Emerging Markets Equity	Pair Corr
0.45	MMKBX	Emerging Markets Por	Pair Corr
0.45	MMMPX	Msif Emerging Markets	Pair Corr
0.45	MRGEX	Msif Emerging Markets	Pair Corr
0.48	MSBDX	Morgan Stanley Insti	Pair Corr
0.48	MSBEX	Morgan Stanley Insti	Pair Corr
0.48	MSBKX	Morgan Stanley Insti	Pair Corr
0.47	MSBPX	Morgan Stanley Insti	Pair Corr
0.44	MSDUX	Morgan Stanley Insti	Pair Corr
0.38	MSDQX	Morgan Stanley Susta	Pair Corr
0.33	MAAUX	Morgan Stanley Insti	Pair Corr
0.33	MAAOX	Morgan Stanley Insti	Pair Corr
0.32	MAAQX	Morgan Stanley Insti	Pair Corr

Related Correlations Analysis

	GAAUX	ZGFIX	KGLCX	ANAGX	BXFIX	RGELX	XAWFX	TINCX
GAAUX		0.45	-0.03	0.53	-0.14	0.47	0.55	0.58	GAAUX
ZGFIX	0.45		0.64	0.58	0.52	0.71	0.52	0.0	ZGFIX
KGLCX	-0.03	0.64		0.05	0.62	0.39	0.14	-0.34	KGLCX
ANAGX	0.53	0.58	0.05		0.05	0.71	0.85	0.51	ANAGX
BXFIX	-0.14	0.52	0.62	0.05		-0.01	-0.17	-0.63	BXFIX
RGELX	0.47	0.71	0.39	0.71	-0.01		0.83	0.44	RGELX
XAWFX	0.55	0.52	0.14	0.85	-0.17	0.83		0.67	XAWFX
TINCX	0.58	0.0	-0.34	0.51	-0.63	0.44	0.67		TINCX
	GAAUX	ZGFIX	KGLCX	ANAGX	BXFIX	RGELX	XAWFX	TINCX

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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

XAWFX	+ 0.85	ANAGX
XAWFX	+ 0.83	RGELX
RGELX	+ 0.71	ZGFIX
RGELX	+ 0.71	ANAGX
TINCX	+ 0.67	XAWFX
KGLCX	+ 0.64	ZGFIX

High negative correlations

TINCX	- 0.63	BXFIX
TINCX	- 0.34	KGLCX
XAWFX	- 0.17	BXFIX
BXFIX	- 0.14	GAAUX
KGLCX	- 0.03	GAAUX
RGELX	- 0.01	BXFIX

Risk-Adjusted Indicators

There is a big difference between High Mutual Fund performing well and High Yield 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 High Yield'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
GAAUX	0.65	(0.02)	0.00	(0.04)	0.00	0.00	1.17	(1.28)	10.86
ZGFIX	0.44	0.02	0.00	0.14	0.72	(0.43)	0.85	(0.92)	3.69
KGLCX	1.23	0.31	0.20	0.76	1.16	(1.44)	3.00	(2.22)	8.75
ANAGX	0.18	(0.02)	0.00	(0.89)	0.00	0.00	0.29	(0.29)	1.16
BXFIX	0.08	0.00	(0.04)	0.00	0.00	(0.22)	0.12	(0.12)	0.92
RGELX	0.57	0.00	(0.01)	0.00	0.91	(0.53)	1.33	(1.69)	4.33
XAWFX	0.13	(0.01)	0.00	(0.76)	0.00	0.00	0.18	(0.44)	0.88
TINCX	0.41	(0.04)	0.00	(0.27)	0.00	0.00	0.84	(1.19)	2.86

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