Great-west Correlations

MXVIX Fund

USD 38.62 0.14 0.36%

The current 90-days correlation between Great West Sp and T Rowe Price is 0.89 (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 0.83 (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 gross domestic product.

Moving together with Great-west Mutual Fund

0.78	SFBPX	Great-west Securefoundation	Pair Corr
0.93	MXBUX	Great West Sp	Pair Corr
0.99	MXEBX	Great-west Core	Pair Corr
0.9	MXERX	Great West Sp	Pair Corr
0.96	MXEQX	Great West T	Pair Corr
0.99	MXGSX	Great-west Multi-manager	Pair Corr
0.68	MXGTX	Great West Aggressive	Pair Corr

Moving against Great-west Mutual Fund

0.73	MXCOX	Great West Bond	Pair Corr
0.73	MXBIX	Great West Bond	Pair Corr
0.34	MXCJX	Great-west Securefoundation	Pair Corr
0.76	MXGBX	Great West Templeton	Pair Corr
0.75	MXGMX	Great West Government	Pair Corr
0.74	MXDQX	Great West Government	Pair Corr
0.61	MXEDX	Great-west Core	Pair Corr
0.53	MXECX	Great-west Core	Pair Corr
0.48	MXEGX	Great-west Core	Pair Corr
0.73	MXFDX	Great-west Core	Pair Corr
0.72	MXIUX	Great-west Core	Pair Corr
0.57	MXINX	Great-west International	Pair Corr
0.5	MXIVX	Great West Mfs	Pair Corr

Related Correlations Analysis

	PARJX	JABKX	VTARX	HRNRX	TRRZX	RRTLX	TREHX	TRRJX
PARJX		0.9	0.91	0.78	0.97	0.98	1.0	0.99	PARJX
JABKX	0.9		0.73	0.51	0.77	0.97	0.89	0.83	JABKX
VTARX	0.91	0.73		0.92	0.93	0.85	0.92	0.93	VTARX
HRNRX	0.78	0.51	0.92		0.86	0.67	0.8	0.84	HRNRX
TRRZX	0.97	0.77	0.93	0.86		0.89	0.97	0.99	TRRZX
RRTLX	0.98	0.97	0.85	0.67	0.89		0.97	0.94	RRTLX
TREHX	1.0	0.89	0.92	0.8	0.97	0.97		0.99	TREHX
TRRJX	0.99	0.83	0.93	0.84	0.99	0.94	0.99		TRRJX
	PARJX	JABKX	VTARX	HRNRX	TRRZX	RRTLX	TREHX	TRRJX

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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
PARJX	0.29	(0.02)	(0.20)	0.08	0.37	(0.30)	0.64	(0.64)	1.81
JABKX	0.26	(0.02)	(0.29)	0.08	0.27	(0.27)	0.55	(0.55)	1.35
VTARX	0.36	0.01	(0.11)	0.15	0.41	(0.40)	0.84	(0.84)	2.37
HRNRX	0.89	0.20	0.21	0.28	0.67	(1.06)	2.44	(1.56)	6.54
TRRZX	0.49	(0.03)	(0.10)	0.08	0.61	(0.53)	0.96	(1.07)	3.08
RRTLX	0.23	(0.02)	(0.30)	0.07	0.23	(0.25)	0.48	(0.56)	1.36
TREHX	0.29	(0.02)	(0.21)	0.08	0.36	(0.30)	0.57	(0.63)	1.84
TRRJX	0.40	(0.03)	(0.14)	0.08	0.47	(0.42)	0.78	(0.87)	2.44

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