Multifactor Correlations

Mutual Funds . USA . 
Fund . Multifactor Equity Fund
RTDCX Fund  USD 13.43  0.06  0.45%   
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

Poor diversification

The correlation between Multifactor Equity Fund and DJI is 0.78 (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 unemployment.

Moving together with Multifactor Mutual Fund

  0.92RNTTX International DevelopedPairCorr
  0.75RALAX Growth StrategyPairCorr
  0.76RALCX Growth StrategyPairCorr
  0.76RALSX Growth StrategyPairCorr
  0.76RALRX Growth StrategyPairCorr
  0.95RALVX Growth StrategyPairCorr
  0.72RSBTX Short Duration BondPairCorr
  0.72RSBYX Short Duration BondPairCorr
  0.91RSCRX Us Small CapPairCorr
  0.72RSBCX Short Duration BondPairCorr
  0.73RSDTX Short Duration BondPairCorr
  0.83RAZAX Multi Asset GrowthPairCorr
  0.83RAZCX Multi Asset GrowthPairCorr
  0.73RSQAX Us E EquityPairCorr
  0.68RBCUX Tax Exempt BondPairCorr
  0.74RBLCX Balanced StrategyPairCorr
  0.73RBLAX Balanced StrategyPairCorr
  0.74RBLSX Balanced StrategyPairCorr
  0.92RBLVX Balanced StrategyPairCorr
  0.75RBLRX Balanced StrategyPairCorr
  1.0RTDAX Multifactor EquityPairCorr
  0.97RTDYX Select EquityPairCorr
  1.0RTDSX Select EquityPairCorr
  0.97RTDRX Select EquityPairCorr
  0.97RTDTX Select EquityPairCorr
  0.66RTEAX Tax Exempt BondPairCorr
  0.66RTECX 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  0.54  0.24  0.34  0.63  0.00 
(0.67)
 1.38 
(0.88)
 7.39 
RREAX  0.45  0.19  0.14 (0.99) 0.26 
(0.51)
 1.25 
(0.83)
 2.86 
RREYX  0.43  0.14  0.11  0.67  0.31 
(0.48)
 1.03 
(0.80)
 2.57 
RRESX  0.43  0.14  0.11  0.67  0.31 
(0.47)
 1.03 
(0.80)
 2.60 
RRSCX  0.43  0.13  0.10  0.64  0.33 
(0.48)
 1.03 
(0.85)
 2.57 
RRSRX  0.44  0.14  0.11  0.66  0.32 
(0.47)
 1.06 
(0.84)
 2.57 
RALAX  0.40  0.14  0.10 (1.89) 0.24 
(0.45)
 0.91 
(0.69)
 2.45 
RALCX  0.40  0.07  0.06  0.20  0.26 
(0.48)
 0.92 
(0.67)
 2.45 
RALSX  0.40  0.07  0.07  0.21  0.27 
(0.47)
 0.92 
(0.66)
 2.52 
RALRX  0.40  0.07  0.06  0.21  0.26 
(0.45)
 0.88 
(0.74)
 2.58 

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