Glenmede International Correlations

NOVIX Fund

USD 4.81 0.02 0.42%

The current 90-days correlation between Glenmede International and Versatile Bond Portfolio is 0.11 (i.e., Average diversification). The correlation of Glenmede International 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.

Glenmede International Correlation With Market

Average diversification

The correlation between Glenmede International Secured and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Glenmede International Secured 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 Glenmede International Secured. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Glenmede Mutual Fund

0.75	TRV	The Travelers Companies	Pair Corr
0.77	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.64	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.85	HPQ	HP Inc	Pair Corr
0.82	AA	Alcoa Corp	Pair Corr

Moving against Glenmede Mutual Fund

0.76	BA	Boeing	Pair Corr
0.68	VZ	Verizon Communications	Pair Corr

Related Correlations Analysis

	PRVBX	ARTFX	DHGCX	XFINX	IBFCX	TSDCX	BXHCX
PRVBX		0.7	0.5	0.51	0.8	0.49	0.76	PRVBX
ARTFX	0.7		0.41	0.65	0.57	0.73	0.91	ARTFX
DHGCX	0.5	0.41		0.61	0.84	0.18	0.62	DHGCX
XFINX	0.51	0.65	0.61		0.7	0.31	0.74	XFINX
IBFCX	0.8	0.57	0.84	0.7		0.34	0.71	IBFCX
TSDCX	0.49	0.73	0.18	0.31	0.34		0.47	TSDCX
BXHCX	0.76	0.91	0.62	0.74	0.71	0.47		BXHCX
	PRVBX	ARTFX	DHGCX	XFINX	IBFCX	TSDCX	BXHCX

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Risk-Adjusted Indicators

There is a big difference between Glenmede Mutual Fund performing well and Glenmede International 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 Glenmede International'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
PRVBX	0.10	0.00	(0.76)	(0.01)	0.04	(0.13)	0.25	(0.19)	0.58
ARTFX	0.11	0.02	(0.31)	1.23	0.00	(0.18)	0.44	(0.22)	1.10
DHGCX	0.15	0.00	(0.42)	0.17	0.10	(0.21)	0.36	(0.26)	0.94
XFINX	0.13	(0.01)	(0.27)	(0.02)	0.21	(0.16)	0.36	(0.64)	1.14
IBFCX	0.14	(0.01)	(0.43)	(0.14)	0.14	(0.22)	0.41	(0.24)	0.97
TSDCX	0.05	0.01	0.00	(0.44)	0.00	0.00	0.11	(0.11)	0.66
BXHCX	0.12	0.01	(0.31)	0.36	0.00	(0.19)	0.50	(0.25)	1.11

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