Royce Pennsylvania Correlations

RYPFX Fund

USD 9.33 0.01 0.11%

The current 90-days correlation between Royce Pennsylvania Mutual and Commodityrealreturn Strategy Fund is 0.04 (i.e., Significant diversification). The correlation of Royce Pennsylvania 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 Pennsylvania Correlation With Market

Weak diversification

The correlation between Royce Pennsylvania Mutual and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Pennsylvania Mutual 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 Pennsylvania Mutual. 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 census.

Moving together with Royce Mutual Fund

0.96	RPFFX	Royce Premier	Pair Corr
0.95	RSEFX	Royce Special Equity	Pair Corr
0.85	RDVIX	Royce Dividend Value	Pair Corr
0.84	RVPHX	Royce Smaller Companies	Pair Corr
0.98	RYDVX	Royce Dividend Value	Pair Corr
0.75	RYIPX	Royce International	Pair Corr
0.92	RYOFX	Royce Opportunity	Pair Corr
0.98	RYOTX	Royce Micro Cap	Pair Corr
1.0	RYPRX	Royce Premier	Pair Corr
0.92	RYPNX	Royce Opportunity	Pair Corr
0.98	RYSEX	Royce Special Equity	Pair Corr
0.93	RYTFX	Royce Total Return	Pair Corr
0.92	RYTRX	Royce Total Return	Pair Corr
0.99	RYVFX	Royce Small Cap	Pair Corr
0.84	RYVPX	Royce Smaller Companies	Pair Corr
0.75	RIPIX	Royce International	Pair Corr
0.98	RMCFX	Royce Micro Cap	Pair Corr
1.0	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.7	VSMAX	Vanguard Small Cap	Pair Corr
0.7	VSCIX	Vanguard Small Cap	Pair Corr
0.7	VSCPX	Vanguard Small Cap	Pair Corr
0.62	NAESX	Vanguard Small Cap	Pair Corr
0.82	FSSNX	Fidelity Small Cap	Pair Corr
0.71	DFSTX	Us Small Cap	Pair Corr
0.97	PASVX	T Rowe Price	Pair Corr
1.0	PRVIX	T Rowe Price	Pair Corr
1.0	TRZVX	T Rowe Price	Pair Corr
0.96	PRSVX	T Rowe Price	Pair Corr
0.64	VGTSX	Vanguard Total Inter	Pair Corr
0.62	VTIAX	Vanguard Total Inter	Pair Corr

Moving against Royce Mutual Fund

0.57

LGRAX

Lord Abbett Investment

Pair Corr

Related Correlations Analysis

	PCRRX	PAHIX	PSFAX	FILFX	FSCFX
PCRRX		0.25	0.54	-0.19	0.0	PCRRX
PAHIX	0.25		0.5	0.04	0.0	PAHIX
PSFAX	0.54	0.5		-0.59	0.0	PSFAX
FILFX	-0.19	0.04	-0.59		0.0	FILFX
FSCFX	0.0	0.0	0.0	0.0		FSCFX
	PCRRX	PAHIX	PSFAX	FILFX	FSCFX

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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

PSFAX	+ 0.54	PCRRX
PSFAX	+ 0.5	PAHIX
PAHIX	+ 0.25	PCRRX
FILFX	+ 0.04	PAHIX
FSCFX	+ 0.0	PCRRX
FSCFX	+ 0.0	PAHIX

High negative correlations

FILFX	- 0.59	PSFAX
FILFX	- 0.19	PCRRX
FSCFX	- 0.0	FILFX
FSCFX	- 0.0	PSFAX
FSCFX	- 0.0	PAHIX
FSCFX	- 0.0	PCRRX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Pennsylvania 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 Pennsylvania'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
PCRRX	0.61	0.08	0.06	(7.32)	0.57	(0.67)	1.77	(1.12)	3.07
PAHIX	0.15	0.03	(0.04)	0.92	0.00	(0.26)	0.51	(0.34)	1.20
PSFAX	0.06	0.02	(0.20)	(0.36)	0.00	(0.19)	0.41	(0.10)	0.52
FILFX	0.58	(0.04)	0.00	0.51	0.00	0.00	1.22	(1.65)	3.49
FSCFX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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