Pax Small Correlations

PXSCX Fund

USD 19.50 0.02 0.10%

The current 90-days correlation between Pax Small Cap and Wells Fargo Advantage is -0.09 (i.e., Good diversification). The correlation of Pax Small 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.

Pax Small Correlation With Market

Almost no diversification

The correlation between Pax Small Cap and DJI is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pax Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Pax Small Cap. 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 services.

Moving together with Pax Mutual Fund

0.7	PXBIX	Pax E Bond	Pair Corr
0.75	PXEAX	Pax Global Environmental	Pair Corr
0.67	PXDIX	Pax Esg Beta	Pair Corr
0.77	PXGOX	Pax Global Opportunities	Pair Corr
0.89	PXHAX	Pax High Yield	Pair Corr
0.75	PXGAX	Pax Esg Beta	Pair Corr
0.89	PXINX	Pax Msci Eafe	Pair Corr
0.73	PXLIX	Pax Large Cap	Pair Corr
0.86	PXNIX	Pax Msci Eafe	Pair Corr
0.88	PXSAX	Pax Small Cap	Pair Corr
1.0	PXSIX	Pax Small Cap	Pair Corr
0.89	PXWGX	Pax Esg Beta	Pair Corr
0.94	PXWIX	Pax Ellevate Global	Pair Corr
0.86	PGINX	Pax Global Environmental	Pair Corr
0.86	PGRNX	Pax Global Environmental	Pair Corr
0.91	PAXHX	Pax High Yield	Pair Corr
0.74	PAXIX	Pax Balanced	Pair Corr
0.82	PAXWX	Pax Balanced	Pair Corr
0.85	PWGIX	Pax Esg Beta	Pair Corr
0.96	VSMAX	Vanguard Small Cap	Pair Corr
0.96	VSCIX	Vanguard Small Cap	Pair Corr
0.96	VSCPX	Vanguard Small Cap	Pair Corr
0.96	NAESX	Vanguard Small Cap	Pair Corr
0.95	FSSNX	Fidelity Small Cap	Pair Corr
0.96	DFSTX	Us Small Cap	Pair Corr
0.96	FTHSX	Fuller Thaler Behavioral	Pair Corr
0.96	FTHNX	Fuller Thaler Behavioral	Pair Corr
0.91	PASVX	T Rowe Price	Pair Corr
0.87	PRVIX	T Rowe Price	Pair Corr
0.72	PFN	Pimco Income Strategy	Pair Corr
0.73	CIF	Mfs Intermediate High	Pair Corr
0.78	RSFMX	Victory Floating Rate	Pair Corr
0.92	RMBBX	Rmb Small Cap	Pair Corr

Moving against Pax Mutual Fund

0.58	XNBHX	Neuberger Berman Int	Pair Corr
0.37	NXJ	Nuveen New Jersey	Pair Corr
0.35	XNXJX	Nuveen New Jersey	Pair Corr

Related Correlations Analysis

	MMDEX	EKWDX	PAXLX	FMFCX	HWSAX	HWSIX	SBSPX	BAQAX	FMFAX	EKWAX
MMDEX		0.61	0.53	0.51	0.52	0.52	0.82	0.39	0.5	0.59	MMDEX
EKWDX	0.61		0.0	0.93	0.89	0.89	0.77	0.89	0.93	0.9	EKWDX
PAXLX	0.53	0.0		-0.07	-0.08	-0.06	0.43	-0.04	-0.09	-0.05	PAXLX
FMFCX	0.51	0.93	-0.07		0.94	0.95	0.78	0.96	0.98	0.93	FMFCX
HWSAX	0.52	0.89	-0.08	0.94		0.97	0.8	0.87	0.95	0.91	HWSAX
HWSIX	0.52	0.89	-0.06	0.95	0.97		0.83	0.88	0.93	0.89	HWSIX
SBSPX	0.82	0.77	0.43	0.78	0.8	0.83		0.72	0.75	0.76	SBSPX
BAQAX	0.39	0.89	-0.04	0.96	0.87	0.88	0.72		0.95	0.86	BAQAX
FMFAX	0.5	0.93	-0.09	0.98	0.95	0.93	0.75	0.95		0.95	FMFAX
EKWAX	0.59	0.9	-0.05	0.93	0.91	0.89	0.76	0.86	0.95		EKWAX
	MMDEX	EKWDX	PAXLX	FMFCX	HWSAX	HWSIX	SBSPX	BAQAX	FMFAX	EKWAX

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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

FMFAX	+ 0.98	FMFCX
HWSIX	+ 0.97	HWSAX
BAQAX	+ 0.96	FMFCX
HWSIX	+ 0.95	FMFCX
FMFAX	+ 0.95	HWSAX
FMFAX	+ 0.95	BAQAX

High negative correlations

FMFAX	- 0.09	PAXLX
HWSAX	- 0.08	PAXLX
FMFCX	- 0.07	PAXLX
HWSIX	- 0.06	PAXLX
EKWAX	- 0.05	PAXLX
BAQAX	- 0.04	PAXLX

Risk-Adjusted Indicators

There is a big difference between Pax Mutual Fund performing well and Pax Small 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 Pax Small'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
MMDEX	0.77	(0.05)	(0.06)	0.03	1.07	(0.76)	2.17	(1.96)	6.62
EKWDX	1.03	0.42	0.26	(8.62)	0.48	(1.71)	2.77	(1.31)	7.30
PAXLX	0.54	(0.11)	0.00	(0.06)	0.00	0.00	1.10	(1.48)	3.33
FMFCX	0.95	0.27	0.21	0.35	0.85	(1.05)	2.10	(1.73)	5.58
HWSAX	0.84	0.20	0.12	4.09	0.71	(0.96)	2.42	(1.25)	5.19
HWSIX	0.83	0.10	0.12	0.18	0.71	(0.96)	2.43	(1.25)	5.16
SBSPX	0.54	(0.02)	(0.06)	0.06	0.70	(0.58)	1.14	(1.22)	3.61
BAQAX	0.61	0.17	0.20	0.41	0.12	(0.76)	1.66	(0.90)	3.58
FMFAX	0.94	0.34	0.19	(5.17)	0.87	(1.04)	2.11	(1.72)	5.58
EKWAX	2.00	0.66	0.16	(2.49)	2.58	(2.19)	5.11	(4.79)	18.29

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