Multifactor Correlations

RTDAX Fund

USD 13.20 0.07 0.53%

The current 90-days correlation between Multifactor Equity and Rmb Mendon Financial is 0.04 (i.e., Significant 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

Poor diversification

The correlation between Multifactor Equity Fund and DJI is 0.79 (i.e., 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

0.94	RALAX	Growth Strategy	Pair Corr
0.97	RALCX	Growth Strategy	Pair Corr
0.97	RALSX	Growth Strategy	Pair Corr
0.97	RALRX	Growth Strategy	Pair Corr
0.97	RALVX	Growth Strategy	Pair Corr
0.93	RAZCX	Multi Asset Growth	Pair Corr
0.96	RBLCX	Balanced Strategy	Pair Corr
1.0	RTDYX	Select Equity	Pair Corr
1.0	RTDSX	Select Equity	Pair Corr
1.0	RTDRX	Select Equity	Pair Corr
1.0	RTDTX	Select Equity	Pair Corr
0.76	RTECX	Tax Exempt Bond	Pair Corr
0.87	RTIUX	Tax Managed Internat	Pair Corr
0.86	RTNSX	Tax-managed International	Pair Corr
0.67	RTMTX	Tax Managed Large	Pair Corr
0.75	RTOUX	Tax Managed Mid	Pair Corr
0.75	RTSSX	Tax Managed Mid	Pair Corr
0.95	RGISX	Global Infrastructure	Pair Corr
0.67	VTSAX	Vanguard Total Stock	Pair Corr
0.67	VFIAX	Vanguard 500 Index	Pair Corr
0.69	VTSMX	Vanguard Total Stock	Pair Corr
0.69	VITSX	Vanguard Total Stock	Pair Corr
0.69	VSMPX	Vanguard Total Stock	Pair Corr
0.67	VSTSX	Vanguard Total Stock	Pair Corr
0.68	VFINX	Vanguard 500 Index	Pair Corr
0.64	VFFSX	Vanguard 500 Index	Pair Corr
0.67	VINIX	Vanguard Institutional	Pair Corr
0.67	VIIIX	Vanguard Institutional	Pair Corr
0.93	BRUFX	Bruce Fund Bruce	Pair Corr
0.83	SPGSX	State Street Premier	Pair Corr
0.8	KF	Korea Closed	Pair Corr
0.95	SSMAX	Siit Small Mid	Pair Corr
0.83	PJNQX	Jennison Natural Res Steady Growth	Pair Corr

Related Correlations Analysis

	VFAIX	FVAXX	XFINX	PGFMX	FIKBX	RMBLX
VFAIX		0.0	0.63	0.65	0.92	0.86	VFAIX
FVAXX	0.0		0.0	0.0	0.0	0.0	FVAXX
XFINX	0.63	0.0		0.29	0.48	0.59	XFINX
PGFMX	0.65	0.0	0.29		0.81	0.73	PGFMX
FIKBX	0.92	0.0	0.48	0.81		0.93	FIKBX
RMBLX	0.86	0.0	0.59	0.73	0.93		RMBLX
	VFAIX	FVAXX	XFINX	PGFMX	FIKBX	RMBLX

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

RMBLX	+ 0.93	FIKBX
FIKBX	+ 0.92	VFAIX
RMBLX	+ 0.86	VFAIX
FIKBX	+ 0.81	PGFMX
RMBLX	+ 0.73	PGFMX
PGFMX	+ 0.65	VFAIX

High negative correlations

RMBLX	- 0.0	FVAXX
FIKBX	- 0.0	FVAXX
PGFMX	- 0.0	FVAXX
XFINX	- 0.0	FVAXX
FVAXX	- 0.0	VFAIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
VFAIX	0.68	(0.04)	(0.04)	0.03	0.93	(0.65)	1.35	(1.72)	4.39
FVAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
XFINX	0.15	(0.01)	(0.19)	(0.01)	0.26	(0.16)	0.36	(0.43)	1.58
PGFMX	0.32	0.04	(0.06)	0.45	0.30	(0.36)	0.66	(0.65)	2.83
FIKBX	0.75	0.10	0.10	0.17	0.73	(0.82)	1.70	(1.63)	8.31
RMBLX	1.01	0.24	0.21	0.34	0.76	(1.20)	3.09	(1.19)	8.69

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