Royce Total Correlations

RTRIX Fund

USD 7.65 0.07 0.92%

The current 90-days correlation between Royce Total Return and Valic Company I is 0.9 (i.e., Almost no diversification). The correlation of Royce Total 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.

Royce Total Correlation With Market

Poor diversification

The correlation between Royce Total Return and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Total Return 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 Royce Total Return. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Royce Mutual Fund

0.94	VSIIX	Vanguard Small Cap	Pair Corr
0.95	VISVX	Vanguard Small Cap	Pair Corr
0.96	DFSVX	Us Small Cap	Pair Corr
0.94	DFFVX	Us Targeted Value	Pair Corr
0.97	UBVCX	Undiscovered Managers	Pair Corr
0.97	UBVAX	Undiscovered Managers	Pair Corr
0.97	UBVSX	Undiscovered Managers	Pair Corr
0.93	AVFIX	American Beacon Small	Pair Corr
0.74	RSNYX	Victory Global Natural	Pair Corr
0.74	RSNRX	Victory Global Natural	Pair Corr
0.74	RGNCX	Victory Global Natural	Pair Corr
0.87	RMQAX	Monthly Rebalance	Pair Corr
0.87	RMQHX	Monthly Rebalance	Pair Corr
0.68	INTC	Intel	Pair Corr
0.69	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.82	HPQ	HP Inc	Pair Corr
0.76	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.86	TRV	The Travelers Companies	Pair Corr

Moving against Royce Mutual Fund

0.68	BA	Boeing	Pair Corr
0.66	VZ	Verizon Communications	Pair Corr
0.4	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	VVSCX	BRSVX	QRSAX	RSPMX	MAVKX	BOSVX
VVSCX		0.94	0.97	0.95	0.96	0.93	VVSCX
BRSVX	0.94		0.92	0.97	0.99	1.0	BRSVX
QRSAX	0.97	0.92		0.96	0.94	0.91	QRSAX
RSPMX	0.95	0.97	0.96		0.98	0.96	RSPMX
MAVKX	0.96	0.99	0.94	0.98		0.98	MAVKX
BOSVX	0.93	1.0	0.91	0.96	0.98		BOSVX
	VVSCX	BRSVX	QRSAX	RSPMX	MAVKX	BOSVX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Total 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 Royce Total'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
VVSCX	0.89	(0.04)	(0.03)	0.05	1.15	(1.02)	1.82	(1.40)	10.88
BRSVX	0.96	(0.13)	0.00	(0.03)	0.00	0.00	1.75	(1.51)	11.86
QRSAX	0.76	(0.04)	(0.04)	0.05	1.12	(0.86)	1.48	(1.30)	9.42
RSPMX	0.80	(0.08)	(0.06)	0.00	1.37	(0.84)	1.57	(1.29)	11.48
MAVKX	0.89	(0.10)	(0.06)	0.00	1.43	(0.93)	1.73	(1.25)	12.01
BOSVX	0.96	(0.15)	0.00	(0.04)	0.00	0.00	1.84	(1.42)	13.78

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