Multifactor Correlations

Mutual Funds . USA . 
Fund . Multifactor Equity Fund
RTDAX Fund  USD 13.04  0.01  0.08%   
The current 90-days correlation between Multifactor Equity and Growth Strategy Fund is 0.13 (i.e., Average diversification). The correlation of Multifactor 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.

Multifactor Correlation With Market

Very poor diversification

The correlation between Multifactor Equity Fund and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund 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 Multifactor Equity 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 nation.

Moving together with Multifactor Mutual Fund

  0.94RNTTX International DevelopedPairCorr
  0.8RALAX Growth StrategyPairCorr
  0.81RALCX Growth StrategyPairCorr
  0.82RALSX Growth StrategyPairCorr
  0.82RALRX Growth StrategyPairCorr
  0.96RALVX Growth StrategyPairCorr
  0.82RSBTX Short Duration BondPairCorr
  0.82RSBYX Short Duration BondPairCorr
  0.92RSCRX Us Small CapPairCorr
  0.82RSBCX Short Duration BondPairCorr
  0.82RSDTX Short Duration BondPairCorr
  0.88RAZAX Multi Asset GrowthPairCorr
  0.86RAZCX Multi Asset GrowthPairCorr
  0.79RSQAX Us E EquityPairCorr
  0.75RBCUX Tax Exempt BondPairCorr
  0.61RSYTX Strategic BondPairCorr
  0.81RBLCX Balanced StrategyPairCorr
  0.8RBLAX Balanced StrategyPairCorr
  0.79RBLSX Balanced StrategyPairCorr
  0.95RBLVX Balanced StrategyPairCorr
  1.0RTDCX Multifactor EquityPairCorr
  1.0RTDYX Select EquityPairCorr
  1.0RTDSX Select EquityPairCorr
  0.97RTDRX Select EquityPairCorr
  1.0RTDTX Select EquityPairCorr
  0.72RTEAX Tax Exempt BondPairCorr
  0.71RTECX Tax Exempt BondPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Multifactor Mutual Fund performing well and Multifactor 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 Multifactor'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
RNTTX  0.62  0.19  0.25  0.37  0.33 
(0.74)
 1.39 
(1.11)
 7.39 
RREAX  0.47  0.12  0.13 (1.73) 0.40 
(0.51)
 1.25 
(0.83)
 2.86 
RREYX  0.48  0.10  0.10  0.33  0.50 
(0.51)
 1.23 
(1.05)
 2.85 
RRESX  0.48  0.10  0.10  0.33  0.49 
(0.50)
 1.23 
(1.05)
 2.82 
RRSCX  0.48  0.09  0.09  0.32  0.48 
(0.51)
 1.25 
(1.05)
 2.85 
RRSRX  0.48  0.10  0.10  0.33  0.52 
(0.50)
 1.22 
(1.05)
 2.78 
RALAX  0.42  0.06  0.04 (3.82) 0.53 
(0.43)
 0.91 
(0.95)
 2.45 
RALCX  0.43  0.04  0.04  0.10  0.48 
(0.47)
 0.92 
(0.97)
 2.45 
RALSX  0.43  0.04  0.04  0.11  0.46 
(0.47)
 0.93 
(0.99)
 2.52 
RALRX  0.42  0.04  0.04  0.11  0.44 
(0.44)
 0.91 
(0.99)
 2.58 

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