Metropolitan West Correlations

MWUIX Fund

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The current 90-days correlation between Metropolitan West Ultra and Tcw Emerging Markets is 0.33 (i.e., Weak diversification). The correlation of Metropolitan West 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.

Metropolitan West Correlation With Market

Very poor diversification

The correlation between Metropolitan West Ultra and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Metropolitan West Ultra 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 Metropolitan West Ultra. 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 Metropolitan Mutual Fund

0.91	TGDVX	Tcw Relative Value	Pair Corr
0.7	TGFNX	Tcw E Fixed	Pair Corr
0.84	TGGBX	Tcw Global Bond	Pair Corr
0.96	TGEIX	Tcw Emerging Markets	Pair Corr
0.96	TGEPX	Tcw Funds	Pair Corr
0.84	TGGFX	Tcw Global Bond	Pair Corr
0.81	TGLSX	Tcw Total Return	Pair Corr
0.79	TGMNX	Tcw Total Return	Pair Corr
0.81	TGLMX	Tcw Total Return	Pair Corr
0.92	TGPCX	Tcw Servative Allocation	Pair Corr
0.88	TGPNX	Tcw Servative Allocation	Pair Corr
0.86	TGREX	Tcw Global Real	Pair Corr
0.88	TGRYX	Tcw Global Real	Pair Corr
0.94	TGWIX	Tcw Emerging Markets	Pair Corr
0.94	TGWNX	Tcw Emerging Markets	Pair Corr
0.95	TGVNX	Tcw Relative Value	Pair Corr
0.9	TGVOX	Tcw Relative Value	Pair Corr
0.95	MWCRX	Metropolitan West	Pair Corr
0.91	MWHIX	Metropolitan West High	Pair Corr
0.92	MWHYX	Metropolitan West High	Pair Corr
0.88	MWIGX	Metropolitan West	Pair Corr
0.88	MWISX	Metropolitan West	Pair Corr
0.96	MWLIX	Metropolitan West Low	Pair Corr
0.96	MWLDX	Metropolitan West Low	Pair Corr
0.96	MWSIX	Metropolitan West	Pair Corr
0.98	MWUSX	Metropolitan West Ultra	Pair Corr
0.95	MWSTX	Metropolitan West	Pair Corr
0.72	MWTIX	Metropolitan West Total	Pair Corr
0.71	MWTTX	Metropolitan West Total	Pair Corr
0.7	MWTRX	Metropolitan West Total	Pair Corr
0.97	PTSHX	Short Term Fund	Pair Corr
0.96	PSFAX	Short Term Fund	Pair Corr

Moving against Metropolitan Mutual Fund

0.66

TGCNX

Tcw Select Equities

Pair Corr

Related Correlations Analysis

	TWOEX	TGDIX	TGDVX	TGCEX	TGCNX	TGCFX	TGCPX	TGFNX	TGGBX	TGEIX
TWOEX		0.75	0.83	0.55	-0.64	0.35	0.39	0.71	0.86	0.94	TWOEX
TGDIX	0.75		0.51	0.86	-0.36	0.55	0.54	0.43	0.55	0.63	TGDIX
TGDVX	0.83	0.51		0.46	-0.46	0.05	0.08	0.68	0.81	0.89	TGDVX
TGCEX	0.55	0.86	0.46		0.05	0.27	0.21	0.33	0.36	0.47	TGCEX
TGCNX	-0.64	-0.36	-0.46	0.05		-0.37	-0.47	-0.47	-0.63	-0.68	TGCNX
TGCFX	0.35	0.55	0.05	0.27	-0.37		0.9	0.34	0.38	0.27	TGCFX
TGCPX	0.39	0.54	0.08	0.21	-0.47	0.9		0.3	0.41	0.31	TGCPX
TGFNX	0.71	0.43	0.68	0.33	-0.47	0.34	0.3		0.78	0.77	TGFNX
TGGBX	0.86	0.55	0.81	0.36	-0.63	0.38	0.41	0.78		0.93	TGGBX
TGEIX	0.94	0.63	0.89	0.47	-0.68	0.27	0.31	0.77	0.93		TGEIX
	TWOEX	TGDIX	TGDVX	TGCEX	TGCNX	TGCFX	TGCPX	TGFNX	TGGBX	TGEIX

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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

TGEIX	+ 0.94	TWOEX
TGEIX	+ 0.93	TGGBX
TGCPX	+ 0.9	TGCFX
TGEIX	+ 0.89	TGDVX
TGGBX	+ 0.86	TWOEX
TGCEX	+ 0.86	TGDIX

High negative correlations

TGEIX	- 0.68	TGCNX
TGCNX	- 0.64	TWOEX
TGGBX	- 0.63	TGCNX
TGFNX	- 0.47	TGCNX
TGCPX	- 0.47	TGCNX
TGCNX	- 0.46	TGDVX

Risk-Adjusted Indicators

There is a big difference between Metropolitan Mutual Fund performing well and Metropolitan West 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 Metropolitan West'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
TWOEX	0.66	0.16	0.16	(1.45)	0.47	(0.82)	1.67	(1.16)	3.89
TGDIX	1.19	0.64	0.82	(3.12)	0.00	(1.62)	1.40	(0.98)	31.35
TGDVX	0.65	0.04	0.04	0.08	0.71	(0.73)	1.36	(1.41)	3.89
TGCEX	0.97	0.16	0.09	5.00	1.04	(1.04)	1.48	(1.99)	16.29
TGCNX	0.82	(0.17)	0.00	(0.18)	0.00	0.00	1.31	(2.05)	4.93
TGCFX	0.16	0.02	(0.10)	0.59	0.00	(0.21)	0.31	(0.31)	0.62
TGCPX	0.15	0.02	(0.10)	(2.79)	0.00	(0.22)	0.31	(0.31)	0.71
TGFNX	0.15	0.02	(0.10)	(0.45)	0.00	(0.21)	0.31	(0.31)	0.72
TGGBX	0.17	0.02	(0.06)	0.44	0.00	(0.22)	0.36	(0.24)	1.41
TGEIX	0.16	0.06	0.09	0.66	0.00	(0.23)	0.43	(0.29)	1.44

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