Sp 500 Correlations

SPFIX Fund

USD 85.21 0.40 0.47%

The current 90-days correlation between Sp 500 Index and Neuberger Berman IMF is 0.26 (i.e., Modest 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

Almost no diversification

The correlation between Sp 500 Index 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 Sp 500 Index 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 Sp 500 Index. 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 SPFIX Mutual Fund

0.92	EMSLX	Shelton Emerging Markets	Pair Corr
0.92	EMSQX	Shelton Emerging Markets	Pair Corr
0.96	NQQQX	Shelton Funds	Pair Corr
0.95	NASDX	Nasdaq 100 Index	Pair Corr
0.97	EQTKX	Shelton E Value	Pair Corr
0.97	EQTIX	Shelton E Value	Pair Corr
0.72	NDXKX	Nasdaq 100 Index	Pair Corr
0.61	NEXIX	Shelton Green Alpha	Pair Corr
0.61	NEXTX	Shelton Green Alpha	Pair Corr
0.86	SISEX	Shelton International	Pair Corr
0.86	SISLX	Shelton International	Pair Corr
0.94	SMCIX	Sp Smallcap Index	Pair Corr
0.95	SMLKX	Sp Smallcap Index	Pair Corr
0.81	DEBTX	Shelton Tactical Credit	Pair Corr
0.82	DEBIX	Shelton Tactical Credit	Pair Corr
0.94	SPMIX	Sp Midcap Index	Pair Corr
0.94	MIDKX	Sp Midcap Index	Pair Corr
1.0	SPXKX	Sp 500 Index	Pair Corr
0.94	VTSAX	Vanguard Total Stock	Pair Corr
0.94	VFIAX	Vanguard 500 Index	Pair Corr
0.95	VTSMX	Vanguard Total Stock	Pair Corr
0.95	VITSX	Vanguard Total Stock	Pair Corr
0.95	VSMPX	Vanguard Total Stock	Pair Corr
0.94	VSTSX	Vanguard Total Stock	Pair Corr
0.94	VFINX	Vanguard 500 Index	Pair Corr
0.94	VFFSX	Vanguard 500 Index	Pair Corr
0.94	VINIX	Vanguard Institutional	Pair Corr
0.94	VIIIX	Vanguard Institutional	Pair Corr
0.62	NHS	Neuberger Berman High	Pair Corr
0.78	GGMMX	Gabelli Global Mini	Pair Corr
0.8	QUSRX	Pear Tree Polaris	Pair Corr
0.9	FAETX	American Funds 2030	Pair Corr
0.97	GCPCX	Gateway Equity Call	Pair Corr
0.76	MAIJX	Morgan Stanley Insti	Pair Corr
0.91	PHDCX	High Yield Fund	Pair Corr
0.75	FSHSX	Federated Short Inte	Pair Corr

Moving against SPFIX Mutual Fund

0.37

CAUKX

Us Government Securities

Pair Corr

Related Correlations Analysis

	PRJPX	ACUSX	WFIVX	PIGDX	ZTR	SEEKX	ARTZX	PFPFX	JICAX	NBH
PRJPX		0.65	0.96	-0.89	0.13	0.88	0.81	0.95	0.51	0.62	PRJPX
ACUSX	0.65		0.67	-0.58	0.35	0.78	0.73	0.71	0.66	0.73	ACUSX
WFIVX	0.96	0.67		-0.86	0.0	0.9	0.73	0.95	0.65	0.52	WFIVX
PIGDX	-0.89	-0.58	-0.86		-0.11	-0.91	-0.78	-0.82	-0.56	-0.5	PIGDX
ZTR	0.13	0.35	0.0	-0.11		0.11	0.44	0.04	-0.16	0.49	ZTR
SEEKX	0.88	0.78	0.9	-0.91	0.11		0.81	0.85	0.79	0.56	SEEKX
ARTZX	0.81	0.73	0.73	-0.78	0.44	0.81		0.74	0.45	0.82	ARTZX
PFPFX	0.95	0.71	0.95	-0.82	0.04	0.85	0.74		0.53	0.61	PFPFX
JICAX	0.51	0.66	0.65	-0.56	-0.16	0.79	0.45	0.53		0.2	JICAX
NBH	0.62	0.73	0.52	-0.5	0.49	0.56	0.82	0.61	0.2		NBH
	PRJPX	ACUSX	WFIVX	PIGDX	ZTR	SEEKX	ARTZX	PFPFX	JICAX	NBH

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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

WFIVX	+ 0.96	PRJPX
PFPFX	+ 0.95	PRJPX
PFPFX	+ 0.95	WFIVX
SEEKX	+ 0.9	WFIVX
SEEKX	+ 0.88	PRJPX
PFPFX	+ 0.85	SEEKX

High negative correlations

SEEKX	- 0.91	PIGDX
PIGDX	- 0.89	PRJPX
PIGDX	- 0.86	WFIVX
PFPFX	- 0.82	PIGDX
ARTZX	- 0.78	PIGDX
PIGDX	- 0.58	ACUSX

Risk-Adjusted Indicators

There is a big difference between SPFIX 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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PRJPX	0.97	0.37	0.34	0.71	0.44	(1.21)	2.01	(1.65)	15.28
ACUSX	0.49	(0.02)	(0.05)	0.06	0.67	(0.50)	1.01	(1.14)	3.22
WFIVX	0.73	0.07	0.09	0.14	0.65	(0.87)	1.49	(1.28)	11.17
PIGDX	2.41	(1.13)	0.00	(3.67)	0.00	0.00	1.28	(1.73)	78.24
ZTR	0.55	0.04	(0.01)	0.19	0.66	(0.55)	0.96	(1.07)	2.36
SEEKX	0.63	(0.01)	(0.03)	0.07	0.76	(0.67)	1.48	(1.24)	6.15
ARTZX	0.70	0.09	0.08	0.24	0.59	(0.84)	1.65	(1.23)	3.83
PFPFX	0.77	0.25	0.35	0.44	0.00	(0.98)	1.81	(1.10)	9.77
JICAX	0.57	(0.08)	0.00	(0.03)	0.00	0.00	1.07	(1.33)	3.62
NBH	0.36	0.04	(0.07)	0.38	0.28	(0.43)	0.90	(0.67)	1.75

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