Royce Total Correlations

RYTFX Fund

USD 7.69 0.05 0.65%

The current 90-days correlation between Royce Total Return and Boston Trust Small is 0.47 (i.e., Very weak 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

Almost no diversification

The correlation between Royce Total Return and DJI is 0.9 (i.e., Almost no 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 signals in price.

Moving together with Royce Mutual Fund

0.97	RPFFX	Royce Premier	Pair Corr
0.99	RSEFX	Royce Special Equity	Pair Corr
0.96	RVPHX	Royce Smaller Companies	Pair Corr
0.99	RVVHX	Royce Small Cap	Pair Corr
0.98	RYOFX	Royce Opportunity	Pair Corr
0.99	RYOTX	Royce Micro Cap	Pair Corr
0.97	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.97	RYPRX	Royce Premier	Pair Corr
0.89	RYPNX	Royce Opportunity	Pair Corr
0.99	RYSEX	Royce Special Equity	Pair Corr
1.0	RYTRX	Royce Total Return	Pair Corr
0.99	RYVFX	Royce Small Cap	Pair Corr
0.96	RYVPX	Royce Smaller Companies	Pair Corr
0.99	RMCFX	Royce Micro Cap	Pair Corr
0.97	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.91	VSIIX	Vanguard Small Cap	Pair Corr
0.91	VISVX	Vanguard Small Cap	Pair Corr
0.88	DFSVX	Us Small Cap	Pair Corr
0.9	DFFVX	Us Targeted Value	Pair Corr
0.92	VSMCX	Invesco Small Cap	Pair Corr
0.93	VSCAX	Invesco Small Cap	Pair Corr
0.99	UBVCX	Undiscovered Managers	Pair Corr
0.99	UBVAX	Undiscovered Managers	Pair Corr
0.77	VTSAX	Vanguard Total Stock	Pair Corr
0.73	VFIAX	Vanguard 500 Index	Pair Corr
0.76	VTSMX	Vanguard Total Stock	Pair Corr
0.77	VSTSX	Vanguard Total Stock	Pair Corr
0.77	VSMPX	Vanguard Total Stock	Pair Corr
0.77	VITSX	Vanguard Total Stock	Pair Corr
0.84	VTIAX	Vanguard Total Inter	Pair Corr
0.74	VFINX	Vanguard 500 Index	Pair Corr
0.74	VFFSX	Vanguard 500 Index	Pair Corr
0.78	BGAFX	Baron Global Advantage	Pair Corr

Moving against Royce Mutual Fund

0.6	RDVIX	Royce Dividend Value	Pair Corr
0.6	RYDVX	Royce Dividend Value	Pair Corr

Related Correlations Analysis

	RPIDX	BAUAX	BMDSX	BMDIX	NBXG	SMAPX	PACIX	AMFAX	SWYFX	BOSOX
RPIDX		0.51	0.46	0.48	0.03	0.64	0.75	0.71	0.7	0.55	RPIDX
BAUAX	0.51		0.97	0.98	-0.18	0.59	0.81	0.88	0.87	0.97	BAUAX
BMDSX	0.46	0.97		0.99	-0.06	0.45	0.75	0.83	0.8	0.94	BMDSX
BMDIX	0.48	0.98	0.99		-0.02	0.46	0.79	0.86	0.83	0.95	BMDIX
NBXG	0.03	-0.18	-0.06	-0.02		-0.52	0.04	-0.1	-0.01	-0.14	NBXG
SMAPX	0.64	0.59	0.45	0.46	-0.52		0.71	0.75	0.74	0.62	SMAPX
PACIX	0.75	0.81	0.75	0.79	0.04	0.71		0.95	0.96	0.87	PACIX
AMFAX	0.71	0.88	0.83	0.86	-0.1	0.75	0.95		0.96	0.9	AMFAX
SWYFX	0.7	0.87	0.8	0.83	-0.01	0.74	0.96	0.96		0.91	SWYFX
BOSOX	0.55	0.97	0.94	0.95	-0.14	0.62	0.87	0.9	0.91		BOSOX
	RPIDX	BAUAX	BMDSX	BMDIX	NBXG	SMAPX	PACIX	AMFAX	SWYFX	BOSOX

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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

BMDIX	+ 0.99	BMDSX
BMDIX	+ 0.98	BAUAX
BMDSX	+ 0.97	BAUAX
BOSOX	+ 0.97	BAUAX
SWYFX	+ 0.96	PACIX
SWYFX	+ 0.96	AMFAX

High negative correlations

SMAPX	- 0.52	NBXG
NBXG	- 0.18	BAUAX
BOSOX	- 0.14	NBXG
AMFAX	- 0.1	NBXG
NBXG	- 0.06	BMDSX
NBXG	- 0.02	BMDIX

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
RPIDX	0.12	0.00	(0.31)	0.40	0.00	(0.21)	0.46	(0.23)	1.03
BAUAX	1.08	0.30	0.34	0.35	0.45	(1.40)	2.56	(1.51)	16.04
BMDSX	1.30	0.44	0.39	0.65	0.49	(1.58)	1.98	(1.83)	18.23
BMDIX	0.98	0.15	0.14	0.21	0.78	(1.15)	1.88	(1.80)	16.20
NBXG	0.94	(0.18)	0.00	(0.18)	0.00	0.00	1.49	(2.51)	6.34
SMAPX	0.68	0.21	0.18	2.06	0.53	(0.81)	1.45	(1.33)	3.86
PACIX	0.79	0.03	0.02	0.10	0.93	(0.81)	1.67	(1.67)	3.83
AMFAX	0.74	0.06	0.04	0.15	0.96	(0.78)	1.27	(1.68)	4.33
SWYFX	0.38	0.01	(0.02)	0.09	0.45	(0.38)	0.87	(0.80)	2.22
BOSOX	0.77	0.10	0.10	0.18	0.61	(0.96)	2.07	(1.53)	5.46

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