Swan Defined Correlations

SDCIX Fund

USD 14.97 0.17 1.15%

The current 90-days correlation between Swan Defined Risk and Swan Defined Risk is 0.77 (i.e., Poor diversification). The correlation of Swan Defined 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.

Swan Defined Correlation With Market

Very poor diversification

The correlation between Swan Defined Risk 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 Swan Defined Risk and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Swan Defined Risk. 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 gross domestic product.

Moving together with Swan Mutual Fund

0.9	SDACX	Swan Defined Risk	Pair Corr
0.9	SDAAX	Swan Defined Risk	Pair Corr
0.9	SDAIX	Swan Defined Risk	Pair Corr
1.0	SDCCX	Swan Defined Risk	Pair Corr
1.0	SDCAX	Swan Defined Risk	Pair Corr
0.88	SDRAX	Swan Defined Risk	Pair Corr
0.89	SDRCX	Swan Defined Risk	Pair Corr
0.88	SDRIX	Swan Defined Risk	Pair Corr
0.89	JHQCX	Jpmorgan Hedged Equity	Pair Corr
0.89	JHEQX	Jpmorgan Hedged Equity	Pair Corr
0.89	JHQAX	Jpmorgan Hedged Equity	Pair Corr
0.93	GTENX	Gateway Fund Class	Pair Corr
0.93	GTECX	Gateway Fund Class	Pair Corr
0.93	GTEYX	Gateway Fund Class	Pair Corr
0.93	GATEX	Gateway Fund Class	Pair Corr
0.87	JHDCX	Jpmorgan Hedged Equity	Pair Corr
0.87	JHDRX	Jpmorgan Hedged Equity	Pair Corr
0.87	JHDAX	Jpmorgan Hedged Equity	Pair Corr
0.93	VIGAX	Vanguard Growth Index	Pair Corr
0.89	JDCAX	Janus Forty Fund	Pair Corr
0.93	VINIX	Vanguard Institutional	Pair Corr
0.91	JCNAX	Janus Contrarian	Pair Corr
0.98	MUTHX	Franklin Mutual Shares	Pair Corr
0.92	VWENX	Vanguard Wellington	Pair Corr
0.96	CSDGX	Copeland Smid Cap	Pair Corr
0.92	TAAIX	Thrivent Aggressive	Pair Corr
0.89	FAGCX	Fidelity Advisor Growth	Pair Corr

Moving against Swan Mutual Fund

0.59	SDJCX	Swan Defined Risk	Pair Corr
0.58	SDJAX	Swan Defined Risk	Pair Corr
0.57	SDJIX	Swan Defined Risk	Pair Corr
0.51	PFHCX	Pacific Funds Small	Pair Corr
0.38	NHS	Neuberger Berman High	Pair Corr

Related Correlations Analysis

	SDACX	SDAAX	SDAIX	SDCIX	SDCCX	SDFAX	SDFCX	SDFIX	SDJAX
SDACX		1.0	1.0	0.9	0.9	0.14	0.11	0.15	-0.44	SDACX
SDAAX	1.0		1.0	0.9	0.9	0.13	0.1	0.14	-0.45	SDAAX
SDAIX	1.0	1.0		0.9	0.9	0.13	0.1	0.14	-0.45	SDAIX
SDCIX	0.9	0.9	0.9		1.0	-0.15	-0.18	-0.15	-0.58	SDCIX
SDCCX	0.9	0.9	0.9	1.0		-0.15	-0.18	-0.14	-0.57	SDCCX
SDFAX	0.14	0.13	0.13	-0.15	-0.15		1.0	1.0	0.73	SDFAX
SDFCX	0.11	0.1	0.1	-0.18	-0.18	1.0		1.0	0.75	SDFCX
SDFIX	0.15	0.14	0.14	-0.15	-0.14	1.0	1.0		0.73	SDFIX
SDJAX	-0.44	-0.45	-0.45	-0.58	-0.57	0.73	0.75	0.73		SDJAX
	SDACX	SDAAX	SDAIX	SDCIX	SDCCX	SDFAX	SDFCX	SDFIX	SDJAX

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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

SDAAX	+ 1.0	SDACX
SDAIX	+ 1.0	SDACX
SDAIX	+ 1.0	SDAAX
SDCCX	+ 1.0	SDCIX
SDFCX	+ 1.0	SDFAX
SDFIX	+ 1.0	SDFAX

High negative correlations

SDJAX	- 0.58	SDCIX
SDJAX	- 0.57	SDCCX
SDJAX	- 0.45	SDAIX
SDJAX	- 0.45	SDAAX
SDJAX	- 0.44	SDACX
SDFCX	- 0.18	SDCCX

Risk-Adjusted Indicators

There is a big difference between Swan Mutual Fund performing well and Swan Defined 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 Swan Defined'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
SDACX	0.41	0.01	(0.07)	0.13	0.43	(0.44)	0.83	(0.94)	3.28
SDAAX	0.40	0.01	(0.06)	0.14	0.41	(0.45)	0.84	(0.98)	3.21
SDAIX	0.40	0.01	(0.06)	0.14	0.41	(0.45)	0.83	(0.97)	3.17
SDCIX	0.57	0.00	(0.01)	0.12	0.50	(0.68)	1.20	(1.11)	5.18
SDCCX	0.57	0.00	(0.01)	0.12	0.49	(0.67)	1.23	(1.09)	5.15
SDFAX	0.53	(0.06)	0.00	(0.11)	0.00	0.00	1.05	(1.28)	3.38
SDFCX	0.52	(0.07)	0.00	(0.13)	0.00	0.00	1.10	(1.33)	3.30
SDFIX	0.53	(0.06)	0.00	(0.12)	0.00	0.00	1.05	(1.28)	3.27
SDJAX	0.48	(0.10)	0.00	(0.26)	0.00	0.00	0.80	(1.17)	2.51

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