Great-west Correlations

MXDQX Fund

USD 8.41 0.09 1.08%

The current 90-days correlation between Great West Government and Chase Growth Fund is -0.19 (i.e., Good diversification). The correlation of Great-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.

Great-west Correlation With Market

Very good diversification

The correlation between Great West Government Mortgage and DJI is -0.21 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great West Government Mortgage 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 Great West Government Mortgage. 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 producer price index.

Moving together with Great-west Mutual Fund

1.0	MXBIX	Great West Bond	Pair Corr
0.72	MXECX	Great-west Core	Pair Corr
0.87	MXEGX	Great-west Core	Pair Corr
0.64	MXCPX	Great-west Conservative	Pair Corr
0.98	MXGBX	Great West Templeton	Pair Corr
1.0	MXGMX	Great West Government	Pair Corr
0.62	MXIGX	Great West Mfs	Pair Corr
0.78	MXIHX	Great-west Inflation-protec	Pair Corr
0.75	MXIOX	Great-west Inflation-protec	Pair Corr

Moving against Great-west Mutual Fund

0.73	MXBUX	Great West Sp	Pair Corr
0.74	MXEBX	Great-west Core	Pair Corr
0.73	MXGSX	Great-west Multi-manager	Pair Corr
0.64	MXERX	Great West Sp	Pair Corr
0.32	MXGTX	Great West Aggressive	Pair Corr
0.77	MXKWX	Great West Sp	Pair Corr
0.66	MXFRX	Great West Putnam	Pair Corr
0.66	MXHYX	Great West Putnam	Pair Corr
0.65	MXKJX	Great West Goldman	Pair Corr

Related Correlations Analysis

	CHASX	TRBCX	LANIX	ARTSX	FRAAX	PRNHX
CHASX		0.99	0.97	0.93	0.97	0.95	CHASX
TRBCX	0.99		0.97	0.92	0.98	0.92	TRBCX
LANIX	0.97	0.97		0.93	0.98	0.91	LANIX
ARTSX	0.93	0.92	0.93		0.92	0.94	ARTSX
FRAAX	0.97	0.98	0.98	0.92		0.89	FRAAX
PRNHX	0.95	0.92	0.91	0.94	0.89		PRNHX
	CHASX	TRBCX	LANIX	ARTSX	FRAAX	PRNHX

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Risk-Adjusted Indicators

There is a big difference between Great-west Mutual Fund performing well and Great-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 Great-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
CHASX	0.67	0.05	0.06	0.17	0.71	(0.78)	1.31	(1.44)	4.83
TRBCX	0.73	0.00	(0.01)	0.13	0.98	(0.68)	1.66	(2.18)	4.86
LANIX	0.51	(0.02)	(0.07)	0.09	0.55	(0.56)	1.22	(0.87)	3.14
ARTSX	0.95	0.01	0.03	0.13	1.16	(0.94)	1.98	(1.99)	5.87
FRAAX	0.75	(0.01)	(0.01)	0.11	1.02	(0.75)	1.44	(1.96)	5.06
PRNHX	0.77	0.04	0.05	0.15	1.00	(0.80)	1.80	(1.29)	6.84

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