Great-west Correlations

MXKWX Fund

USD 9.82 0.06 0.61%

The current 90-days correlation between Great West Sp and Great West Securefoundation Balanced is 0.86 (i.e., Very poor 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 poor diversification

The correlation between Great West Sp 500 and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great West Sp 500 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 Sp 500. 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 housing.

Moving together with Great-west Mutual Fund

0.74	SFBPX	Great-west Securefoundation	Pair Corr
0.93	MXBUX	Great West Sp	Pair Corr
0.99	MXEBX	Great-west Core	Pair Corr
0.89	MXERX	Great West Sp	Pair Corr
0.96	MXEQX	Great West T	Pair Corr
0.99	MXGSX	Great-west Multi-manager	Pair Corr

Moving against Great-west Mutual Fund

0.75	MXCOX	Great West Bond	Pair Corr
0.75	MXBIX	Great West Bond	Pair Corr
0.47	MXECX	Great-west Core	Pair Corr
0.42	MXCJX	Great-west Securefoundation	Pair Corr
0.77	MXDQX	Great West Government	Pair Corr
0.77	MXGMX	Great West Government	Pair Corr
0.76	MXGBX	Great West Templeton	Pair Corr
0.76	MXFDX	Great-west Core	Pair Corr
0.66	MXEDX	Great-west Core	Pair Corr
0.45	MXEGX	Great-west Core	Pair Corr
0.38	MXCPX	Great-west Conservative	Pair Corr

Related Correlations Analysis

	SFBPX	MXAGX	MXAKX	MXAHX	MXBQX	MXBOX	MXBPX	MXBUX	MXBSX	MXCJX
SFBPX		0.79	0.81	0.78	0.5	0.49	0.44	0.77	0.51	-0.14	SFBPX
MXAGX	0.79		1.0	1.0	0.73	0.72	0.72	0.36	0.73	0.3	MXAGX
MXAKX	0.81	1.0		1.0	0.73	0.72	0.71	0.39	0.73	0.28	MXAKX
MXAHX	0.78	1.0	1.0		0.73	0.73	0.72	0.34	0.73	0.3	MXAHX
MXBQX	0.5	0.73	0.73	0.73		1.0	0.98	0.41	1.0	0.76	MXBQX
MXBOX	0.49	0.72	0.72	0.73	1.0		0.98	0.4	1.0	0.77	MXBOX
MXBPX	0.44	0.72	0.71	0.72	0.98	0.98		0.36	0.98	0.82	MXBPX
MXBUX	0.77	0.36	0.39	0.34	0.41	0.4	0.36		0.42	-0.12	MXBUX
MXBSX	0.51	0.73	0.73	0.73	1.0	1.0	0.98	0.42		0.75	MXBSX
MXCJX	-0.14	0.3	0.28	0.3	0.76	0.77	0.82	-0.12	0.75		MXCJX
	SFBPX	MXAGX	MXAKX	MXAHX	MXBQX	MXBOX	MXBPX	MXBUX	MXBSX	MXCJX

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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

MXAKX	+ 1.0	MXAGX
MXAHX	+ 1.0	MXAGX
MXAHX	+ 1.0	MXAKX
MXBOX	+ 1.0	MXBQX
MXBSX	+ 1.0	MXBQX
MXBSX	+ 1.0	MXBOX

High negative correlations

MXCJX	- 0.14	SFBPX
MXCJX	- 0.12	MXBUX

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
SFBPX	0.37	(0.05)	(0.18)	0.03	0.45	(0.45)	0.84	(0.83)	2.87
MXAGX	0.23	(0.04)	(0.31)	(0.02)	0.30	(0.31)	0.56	(0.65)	1.79
MXAKX	0.24	(0.04)	(0.32)	(0.02)	0.30	(0.31)	0.47	(0.56)	1.88
MXAHX	0.24	(0.04)	(0.32)	(0.03)	0.30	(0.30)	0.56	(0.64)	1.77
MXBQX	0.49	(0.10)	0.00	(0.04)	0.00	0.00	1.19	(1.22)	5.31
MXBOX	0.49	(0.10)	0.00	(0.04)	0.00	0.00	1.19	(1.16)	5.30
MXBPX	0.36	(0.08)	0.00	(0.04)	0.00	0.00	0.97	(0.81)	4.21
MXBUX	0.72	(0.05)	(0.02)	0.08	0.80	(0.85)	1.70	(1.12)	5.14
MXBSX	0.50	(0.10)	0.00	(0.04)	0.00	0.00	1.19	(1.23)	5.26
MXCJX	0.45	(0.15)	0.00	(0.18)	0.00	0.00	0.92	(0.86)	8.48

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