High Yield Correlations

RYHDX Fund  USD 119.95  0.45  0.38%   
The current 90-days correlation between High Yield Strategy and Ontrack E Fund is 0.05 (i.e., Significant diversification). The correlation of High Yield 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.

High Yield Correlation With Market

Very poor diversification

The correlation between High Yield Strategy and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding High Yield Strategy 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 High Yield Strategy. 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 small area income & poverty estimates.

Moving together with High Mutual Fund

  0.86RYBCX Basic MaterialsPairCorr
  0.86RYBAX Basic MaterialsPairCorr
  0.87RYBMX Basic MaterialsPairCorr
  0.84RYBHX Sp Midcap 400PairCorr
  0.87RYBIX Basic MaterialsPairCorr
  0.84RYBOX Biotechnology Fund ClassPairCorr
  0.62RYAQX Inverse Government LongPairCorr
  0.82RYATX Nasdaq 100 FundPairCorr
  0.82RYAZX Sp Smallcap 600PairCorr
  0.8RYAWX Sp 500 PurePairCorr
  0.85RYAVX Sp Midcap 400PairCorr
  0.89RYDHX Dow Jones IndustrialPairCorr
  0.89RYDCX Mid Cap 15xPairCorr
  0.83RYCFX Biotechnology Fund ClassPairCorr
  0.86RYCEX Europe 125x StrategyPairCorr
  0.79RYCAX Consumer ProductsPairCorr
  0.82RYCCX Nasdaq 100 2xPairCorr
  0.89RYCNX Transportation Fund ClassPairCorr
  0.84RYCOX Nasdaq 100 FundPairCorr
  0.8RYCIX Consumer ProductsPairCorr
  0.84RYCKX Sp Midcap 400PairCorr
  0.88RYCVX Dow 2x StrategyPairCorr
  0.89RYCYX Dow 2x StrategyPairCorr
  0.88RYCTX Sp 500 2xPairCorr
  0.87RYDAX Dow Jones IndustrialPairCorr
  0.92RYFNX Financial ServicesPairCorr
  0.9RYFIX Financial ServicesPairCorr

Moving against High Mutual Fund

  0.75RYAFX Inverse Russell 2000PairCorr
  0.61RYAUX Utilities Fund ClassPairCorr
  0.56RYABX Government Long BondPairCorr
  0.36RYACX Inverse Nasdaq 100PairCorr
  0.32RYALX Inverse Nasdaq 100PairCorr
  0.32RYAPX Inverse Nasdaq 100PairCorr
  0.89RYCZX Inverse Dow 2xPairCorr
  0.82RYCQX Inverse Russell 2000PairCorr
  0.78RYCLX Inverse Mid CapPairCorr
  0.56RYGBX Government Long BondPairCorr

Related Correlations Analysis


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

RSSEMGPIX
RYDHXMGPIX
RYDHXRSSE
RYDHXCRMEX
RSSECRMEX
CRMEXRYHGX
  

High negative correlations

BXEYXBXEAX
CRSHCRMEX
RYDHXCRSH
RSSECRSH
CRSHRYHGX
CRSHMGPIX

Risk-Adjusted Indicators

There is a big difference between High Mutual Fund performing well and High Yield 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 High Yield'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
RYHGX  0.15  0.00 (0.38) 0.07  0.11 
 0.38 
 0.97 
CMU  0.41  0.03 (0.10) 1.00  0.44 
 0.87 
 2.88 
BXEAX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
BXEYX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
CRMEX  1.03  0.22  0.23  0.24  0.66 
 2.11 
 14.21 
MGPIX  0.81  0.04  0.04  0.13  0.82 
 1.66 
 3.95 
CRSH  1.77  0.11 (0.04)(0.01) 2.09 
 4.48 
 9.69 
RSSE  0.39  0.05 (0.07) 0.43  0.35 
 0.94 
 2.04 
RYDHX  0.59  0.00 (0.01) 0.09  0.60 
 1.22 
 3.20 
OTRGX  0.59  0.00 (0.01) 0.10  1.81 
 0.55 
 23.74