Swan Defined Correlations

SDRCX Fund

USD 13.67 0.05 0.37%

The current 90-days correlation between Swan Defined Risk and Blrc Sgy Mnp is 0.02 (i.e., Significant 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

Average diversification

The correlation between Swan Defined Risk and DJI is 0.16 (i.e., Average 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 manufacturing.

Moving together with Swan Mutual Fund

1.0

SDRIX

Swan Defined Risk

Pair Corr

Moving against Swan Mutual Fund

0.35	MFTTX	Arrow Managed Futures	Pair Corr
0.34	PQTNX	Pimco Trends Managed	Pair Corr
0.33	ATHAX	Heritage Fund A	Pair Corr
0.33	RLNCX	International Developed	Pair Corr

Related Correlations Analysis

	MDMTX	SCYVX	CFNLX	AUERX	ARTQX	CIPMX	PAEIX
MDMTX		-0.33	0.59	-0.19	-0.25	-0.17	-0.01	MDMTX
SCYVX	-0.33		0.36	0.91	0.96	0.82	0.86	SCYVX
CFNLX	0.59	0.36		0.59	0.48	0.45	0.58	CFNLX
AUERX	-0.19	0.91	0.59		0.93	0.87	0.85	AUERX
ARTQX	-0.25	0.96	0.48	0.93		0.81	0.86	ARTQX
CIPMX	-0.17	0.82	0.45	0.87	0.81		0.79	CIPMX
PAEIX	-0.01	0.86	0.58	0.85	0.86	0.79		PAEIX
	MDMTX	SCYVX	CFNLX	AUERX	ARTQX	CIPMX	PAEIX

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

ARTQX	+ 0.96	SCYVX
ARTQX	+ 0.93	AUERX
AUERX	+ 0.91	SCYVX
CIPMX	+ 0.87	AUERX
PAEIX	+ 0.86	SCYVX
PAEIX	+ 0.86	ARTQX

High negative correlations

SCYVX	- 0.33	MDMTX
ARTQX	- 0.25	MDMTX
AUERX	- 0.19	MDMTX
CIPMX	- 0.17	MDMTX
PAEIX	- 0.01	MDMTX

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
MDMTX	0.08	0.00	(0.53)	0.14	0.00	(0.15)	0.19	(0.10)	0.86
SCYVX	0.82	0.00	0.01	0.09	1.06	(0.88)	2.27	(1.91)	4.47
CFNLX	0.06	0.01	(0.80)	2.32	0.00	(0.09)	0.11	(0.05)	0.48
AUERX	1.03	0.23	0.18	0.37	0.84	(1.27)	2.06	(1.76)	12.63
ARTQX	0.83	0.06	0.08	0.13	0.65	(1.05)	1.86	(1.10)	9.49
CIPMX	1.04	0.31	0.32	0.80	0.36	(1.42)	1.68	(1.22)	22.87
PAEIX	0.61	0.03	0.02	0.12	0.72	(0.65)	1.29	(1.27)	2.96

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