M Large Correlations

MTCGX Fund

USD 34.29 0.29 0.85%

The current 90-days correlation between M Large Cap and Calvert Large Cap is 0.04 (i.e., Significant diversification). The correlation of M Large 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.

M Large Correlation With Market

Modest diversification

The correlation between M Large Cap and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding M Large Cap 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 M Large Cap. 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 price.

Moving together with MTCGX Mutual Fund

0.61	HPQ	HP Inc	Pair Corr
0.62	AA	Alcoa Corp	Pair Corr
0.62	VZ	Verizon Communications	Pair Corr

Moving against MTCGX Mutual Fund

0.5	LFRIX	Floating Rate	Pair Corr
0.44	MMM	3M Company	Pair Corr
0.43	BA	Boeing	Pair Corr
0.36	PFE	Pfizer Inc Earnings Call This Week	Pair Corr
0.31	JPM	JPMorgan Chase	Pair Corr

Related Correlations Analysis

	CMIFX	FCLKX	RETSX	LMTIX	NQCAX	MKFOX	TACLX
CMIFX		0.36	0.4	0.13	-0.35	0.67	-0.42	CMIFX
FCLKX	0.36		0.94	0.85	0.66	0.54	0.59	FCLKX
RETSX	0.4	0.94		0.91	0.58	0.67	0.55	RETSX
LMTIX	0.13	0.85	0.91		0.76	0.48	0.73	LMTIX
NQCAX	-0.35	0.66	0.58	0.76		-0.04	0.96	NQCAX
MKFOX	0.67	0.54	0.67	0.48	-0.04		-0.05	MKFOX
TACLX	-0.42	0.59	0.55	0.73	0.96	-0.05		TACLX
	CMIFX	FCLKX	RETSX	LMTIX	NQCAX	MKFOX	TACLX

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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

TACLX	+ 0.96	NQCAX
RETSX	+ 0.94	FCLKX
LMTIX	+ 0.91	RETSX
LMTIX	+ 0.85	FCLKX
NQCAX	+ 0.76	LMTIX
TACLX	+ 0.73	LMTIX

High negative correlations

TACLX	- 0.42	CMIFX
NQCAX	- 0.35	CMIFX
TACLX	- 0.05	MKFOX
MKFOX	- 0.04	NQCAX

Risk-Adjusted Indicators

There is a big difference between MTCGX Mutual Fund performing well and M Large 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 M Large'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
CMIFX	0.07	0.00	(0.40)	0.06	0.06	(0.11)	0.10	(0.10)	0.41
FCLKX	0.58	0.03	(0.03)	0.16	0.74	(0.63)	1.16	(1.21)	5.36
RETSX	0.58	0.02	(0.04)	0.15	0.79	(0.61)	1.19	(1.46)	5.40
LMTIX	0.74	0.00	(0.03)	0.09	1.19	(0.72)	1.28	(1.56)	6.23
NQCAX	0.67	(0.03)	(0.07)	0.02	1.05	(0.78)	1.38	(1.13)	7.96
MKFOX	0.97	0.09	0.00	(1.31)	1.42	(0.98)	1.83	(2.49)	6.74
TACLX	0.56	(0.01)	(0.10)	0.04	0.74	(0.62)	1.03	(0.97)	5.47

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