Sp 500 Correlations

Mutual Funds . USA . 
Fund . Sp 500 Fund
RYSPX Fund  USD 91.90  0.36  0.39%   
The current 90-days correlation between Sp 500 Fund and Basic Materials Fund is 0.66 (i.e., Poor diversification). The correlation of Sp 500 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.

Sp 500 Correlation With Market

Very poor diversification

The correlation between Sp 500 Fund and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sp 500 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 Sp 500 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 american community survey.

Moving together with RYSPX Mutual Fund

  0.71RYBCX Basic MaterialsPairCorr
  0.72RYBAX Basic MaterialsPairCorr
  0.84RYBKX Banking Fund ClassPairCorr
  0.72RYBMX Basic MaterialsPairCorr
  0.92RYBHX Sp Midcap 400PairCorr
  0.72RYBIX Basic MaterialsPairCorr
  0.91RYAKX Russell 2000 15x Steady GrowthPairCorr
  0.95RYAHX Mid Cap 15x Steady GrowthPairCorr
  0.83RYAQX Inverse Government LongPairCorr
  0.65RYAUX Utilities Fund ClassPairCorr
  0.94RYATX Nasdaq 100 FundPairCorr
  1.0RYANX Nova Fund ClassPairCorr
  0.81RYAZX Sp Smallcap 600PairCorr
  0.99RYAWX Sp 500 PurePairCorr
  0.9RYAVX Sp Midcap 400PairCorr
  0.97RYDHX Dow Jones IndustrialPairCorr
  0.95RYDCX Mid Cap 15x Steady GrowthPairCorr
  0.96RYDKX Dow Jones IndustrialPairCorr
  0.71RYEAX Energy Fund ClassPairCorr
  0.7RYECX Energy Fund ClassPairCorr
  0.99RYCHX Technology Fund ClassPairCorr
  0.98RYCCX Nasdaq 100 2xPairCorr
  0.89RYCNX Transportation Fund ClassPairCorr
  0.91RYCMX Russell 2000 15x Steady GrowthPairCorr

Moving against RYSPX Mutual Fund

  0.99RYARX Inverse Sp 500PairCorr
  0.98RYACX Inverse Nasdaq 100PairCorr
  0.98RYAIX Inverse Nasdaq 100PairCorr
  0.98RYALX Inverse Nasdaq 100PairCorr
  0.98RYAPX Inverse Nasdaq 100PairCorr
  0.95RYAGX Inverse Mid CapPairCorr
  0.91RYAFX Inverse Russell 2000PairCorr
  0.83RYABX Government Long BondPairCorr
  0.73RYAEX Europe 125x StrategyPairCorr
  0.73RYCEX Europe 125x StrategyPairCorr
  0.4RYCFX Biotechnology Fund ClassPairCorr
  0.38RYBOX Biotechnology Fund Class Steady GrowthPairCorr
  0.97RYCWX Inverse Dow 2xPairCorr
  0.97RYCZX Inverse Dow 2xPairCorr
  0.95RYCBX Inverse Sp 500PairCorr
  0.95RYCLX Inverse Mid CapPairCorr
  0.94RYCDX Rydex Inverse NasdaqPairCorr
  0.91RYCQX Inverse Russell 2000PairCorr
  0.83RYCGX Government Long BondPairCorr
  0.82RYGBX Government Long BondPairCorr

Related Correlations Analysis

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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   
RYBAX
+ 1.0
RYBCX
RYBMX
+ 1.0
RYBCX
RYBIX
+ 1.0
RYBCX
RYBMX
+ 1.0
RYBAX
RYBIX
+ 1.0
RYBAX
RYBIX
+ 1.0
RYBMX
  
High negative correlations   
RYAIX
- 0.89
RYBHX
RYACX
- 0.89
RYBHX
RYABX
- 0.79
RYBKX
RYACX
- 0.77
RYBKX
RYAIX
- 0.76
RYBKX
RYAIX
- 0.75
RYBIX

Risk-Adjusted Indicators

There is a big difference between RYSPX Mutual Fund performing well and Sp 500 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 Sp 500'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
RYBCX  0.78 (0.05)(0.07) 0.05  0.91 
(0.86)
 1.73 
(1.38)
 4.27 
RYBAX  0.78 (0.05)(0.07) 0.06  0.91 
(0.86)
 1.71 
(1.38)
 4.29 
RYBKX  1.09  0.28  0.14 (1.98) 0.82 
(1.39)
 2.45 
(1.99)
 12.77 
RYBMX  0.78 (0.05)(0.07) 0.06  0.91 
(0.86)
 1.71 
(1.38)
 4.29 
RYBHX  0.81 (0.02) 0.01  0.10  0.98 
(0.85)
 1.76 
(1.38)
 5.62 
RYBIX  0.78 (0.05)(0.07) 0.06  0.91 
(0.86)
 1.72 
(1.37)
 4.29 
RYBOX  0.81 (0.15) 0.00 (0.05) 0.00 
 0.00 
 1.51 
(1.75)
 6.21 
RYABX  0.78 (0.06) 0.00  0.30  0.00 
 0.00 
 1.64 
(1.83)
 5.15 
RYACX  0.76  0.04  0.00  0.08  0.00 
 0.00 
 2.43 
(1.55)
 5.90 
RYAIX  0.76  0.04  0.00  0.07  0.00 
 0.00 
 2.50 
(1.57)
 5.84 

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