Plan Investment Correlations
| PIMXX Fund | USD 1.00 0.00 0.00% |
The current 90-days correlation between Plan Investment and The Hartford Small is 0.06 (i.e., Significant diversification). The correlation of Plan Investment 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.
Plan Investment Correlation With Market
Significant diversification
The correlation between Plan Investment and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Plan Investment and DJI in the same portfolio, assuming nothing else is changed.
Plan |
Moving against Plan Money Market Fund
Related Correlations Analysis
| 0.91 | 0.93 | 0.84 | 0.92 | 0.91 | HSLIX | ||
| 0.91 | 0.87 | 0.87 | 0.98 | 0.99 | RTOUX | ||
| 0.93 | 0.87 | 0.8 | 0.85 | 0.89 | JSCAX | ||
| 0.84 | 0.87 | 0.8 | 0.94 | 0.89 | MSSGX | ||
| 0.92 | 0.98 | 0.85 | 0.94 | 0.98 | VSCPX | ||
| 0.91 | 0.99 | 0.89 | 0.89 | 0.98 | GMSRX | ||
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Risk-Adjusted Indicators
There is a big difference between Plan Money Market Fund performing well and Plan Investment Money Market 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 Plan Investment'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HSLIX | 0.94 | (0.03) | 0.01 | 0.09 | 1.07 | 1.94 | 6.85 | |||
| RTOUX | 0.82 | 0.12 | 0.02 | 0.95 | 0.81 | 2.02 | 6.26 | |||
| JSCAX | 0.89 | (0.06) | (0.02) | 0.07 | 0.79 | 1.79 | 7.62 | |||
| MSSGX | 1.48 | 0.58 | 0.31 | 7.97 | 1.07 | 3.46 | 7.23 | |||
| VSCPX | 0.76 | 0.17 | 0.08 | 1.35 | 0.67 | 1.75 | 5.35 | |||
| GMSRX | 0.95 | 0.15 | 0.05 | 1.14 | 0.88 | 2.12 | 7.57 |