Quantified Market Correlations
| QMLFX Fund | USD 11.65 0.01 0.09% |
The current 90-days correlation between Quantified Market Leaders and Ab All Market is -0.04 (i.e., Good diversification). The correlation of Quantified Market 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.
Quantified Market Correlation With Market
Very poor diversification
The correlation between Quantified Market Leaders and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Quantified Market Leaders and DJI in the same portfolio, assuming nothing else is changed.
Quantified |
Moving together with Quantified Mutual Fund
| 0.81 | SPGSX | State Street Premier | PairCorr |
| 0.79 | JPM | JPMorgan Chase Fiscal Year End 10th of January 2025 | PairCorr |
| 0.75 | CSCO | Cisco Systems | PairCorr |
| 0.71 | INTC | Intel Fiscal Year End 23rd of January 2025 | PairCorr |
| 0.77 | BAC | Bank of America Aggressive Push | PairCorr |
| 0.68 | WMT | Walmart Aggressive Push | PairCorr |
| 0.7 | AA | Alcoa Corp Fiscal Year End 15th of January 2025 | PairCorr |
Moving against Quantified Mutual Fund
| 0.72 | KO | Coca Cola Aggressive Push | PairCorr |
| 0.68 | KF | Korea Closed | PairCorr |
| 0.66 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
| 0.62 | PFE | Pfizer Inc Fiscal Year End 4th of February 2025 | PairCorr |
| 0.55 | BRUFX | Bruce Fund Bruce | PairCorr |
| 0.55 | PG | Procter Gamble | PairCorr |
| 0.33 | BA | Boeing Fiscal Year End 29th of January 2025 | PairCorr |
Related Correlations Analysis
| 0.13 | 0.93 | 0.79 | 0.86 | 0.34 | AMTOX | ||
| 0.13 | -0.04 | 0.02 | 0.12 | 0.85 | XWDIX | ||
| 0.93 | -0.04 | 0.91 | 0.95 | 0.23 | SMQFX | ||
| 0.79 | 0.02 | 0.91 | 0.93 | 0.23 | TEOJX | ||
| 0.86 | 0.12 | 0.95 | 0.93 | 0.41 | REMVX | ||
| 0.34 | 0.85 | 0.23 | 0.23 | 0.41 | DBELX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Quantified Mutual Fund performing well and Quantified Market 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 Quantified Market'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AMTOX | 0.47 | 0.01 | (0.13) | 0.44 | 0.56 | 1.00 | 2.38 | |||
| XWDIX | 0.16 | (0.02) | 0.00 | (0.68) | 0.00 | 0.32 | 1.39 | |||
| SMQFX | 0.59 | 0.00 | (0.12) | 0.28 | 0.77 | 1.27 | 3.52 | |||
| TEOJX | 0.66 | (0.05) | 0.00 | (0.06) | 0.00 | 1.76 | 4.91 | |||
| REMVX | 0.87 | (0.03) | 0.00 | 0.45 | 0.00 | 1.74 | 6.85 | |||
| DBELX | 0.32 | (0.07) | 0.00 | (1.90) | 0.00 | 0.56 | 1.87 |