Nasdaq 100 Correlations

NDXKX Fund

USD 38.00 0.05 0.13%

The current 90-days correlation between Nasdaq 100 Index and Calvert Conservative Allocation is 0.1 (i.e., Average diversification). The correlation of Nasdaq 100 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.

Nasdaq 100 Correlation With Market

Modest diversification

The correlation between Nasdaq 100 Index Fund and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 Index Fund 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 Nasdaq 100 Index Fund. 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 industry.

Moving together with Nasdaq Mutual Fund

0.7	EMSLX	Shelton Emerging Markets	Pair Corr
0.7	EMSQX	Shelton Emerging Markets	Pair Corr
1.0	NQQQX	Shelton Funds	Pair Corr
1.0	NASDX	Nasdaq 100 Index	Pair Corr
0.87	SMCIX	Sp Smallcap Index	Pair Corr
0.87	SMLKX	Sp Smallcap Index	Pair Corr
0.92	SPFIX	Sp 500 Index	Pair Corr
0.87	SPMIX	Sp Midcap Index	Pair Corr
0.88	MIDKX	Sp Midcap Index	Pair Corr
0.92	SPXKX	Sp 500 Index	Pair Corr

Moving against Nasdaq Mutual Fund

0.63	GPICX	Guidepath Conservative	Pair Corr
0.47	FTCAX	Templeton Strained Bond	Pair Corr
0.38	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	CAARX	WDIAX	MCKSX	XACVX	GPICX	VYRPX	SRDAX	TLSHX
CAARX		0.54	0.84	0.86	0.0	0.9	-0.12	0.9	CAARX
WDIAX	0.54		0.74	0.36	-0.32	0.55	-0.51	0.65	WDIAX
MCKSX	0.84	0.74		0.71	-0.31	0.8	-0.44	0.86	MCKSX
XACVX	0.86	0.36	0.71		0.29	0.85	0.18	0.79	XACVX
GPICX	0.0	-0.32	-0.31	0.29		0.26	0.93	0.13	GPICX
VYRPX	0.9	0.55	0.8	0.85	0.26		0.11	0.97	VYRPX
SRDAX	-0.12	-0.51	-0.44	0.18	0.93	0.11		-0.03	SRDAX
TLSHX	0.9	0.65	0.86	0.79	0.13	0.97	-0.03		TLSHX
	CAARX	WDIAX	MCKSX	XACVX	GPICX	VYRPX	SRDAX	TLSHX

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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

TLSHX	+ 0.97	VYRPX
SRDAX	+ 0.93	GPICX
VYRPX	+ 0.9	CAARX
TLSHX	+ 0.9	CAARX
XACVX	+ 0.86	CAARX
TLSHX	+ 0.86	MCKSX

High negative correlations

SRDAX	- 0.51	WDIAX
SRDAX	- 0.44	MCKSX
GPICX	- 0.32	WDIAX
GPICX	- 0.31	MCKSX
SRDAX	- 0.12	CAARX
TLSHX	- 0.03	SRDAX

Risk-Adjusted Indicators

There is a big difference between Nasdaq Mutual Fund performing well and Nasdaq 100 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 Nasdaq 100'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
CAARX	0.25	0.00	(0.20)	0.27	0.35	(0.27)	0.61	(0.50)	2.05
WDIAX	0.58	(0.03)	(0.12)	(0.01)	0.70	(0.69)	1.10	(0.96)	5.40
MCKSX	0.32	(0.02)	(0.16)	0.00	0.51	(0.30)	0.59	(0.67)	2.41
XACVX	0.70	0.07	(0.01)	2.79	1.01	(0.73)	1.43	(1.48)	5.43
GPICX	0.04	0.00	0.00	0.55	0.00	0.00	0.10	(0.10)	0.42
VYRPX	0.18	0.00	(0.22)	0.10	0.18	(0.28)	0.48	(0.39)	1.74
SRDAX	0.15	0.04	(0.20)	(1.16)	0.00	(0.20)	0.38	(0.29)	1.05
TLSHX	0.26	0.00	(0.17)	0.07	0.34	(0.28)	0.55	(0.54)	1.95

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