Ultra-short Fixed Correlations

SWSFX Fund

USD 10.33 0.01 0.1%

The correlation of Ultra-short Fixed 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.

Ultra-short Fixed Correlation With Market

Very poor diversification

The correlation between Ultra Short Fixed Income and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Short Fixed Income 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 Ultra Short Fixed Income. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Ultra-short Mutual Fund

0.66	XOM	Exxon Mobil Corp Earnings Call Next Week	Pair Corr
0.86	AA	Alcoa Corp	Pair Corr
0.78	WMT	Walmart Common Stock	Pair Corr
0.83	DD	Dupont De Nemours	Pair Corr
0.91	MRK	Merck Company	Pair Corr

Moving against Ultra-short Mutual Fund

0.73	HPQ	HP Inc	Pair Corr
0.67	PG	Procter Gamble	Pair Corr
0.63	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	RYAQX	TWARX	SSAGX	IVMXX	GGTPX	SIGVX	PBMXX
RYAQX		0.81	0.86	0.0	0.18	0.86	0.0	RYAQX
TWARX	0.81		0.93	0.0	0.65	0.93	0.0	TWARX
SSAGX	0.86	0.93		0.0	0.61	0.99	0.0	SSAGX
IVMXX	0.0	0.0	0.0		0.0	0.0	0.0	IVMXX
GGTPX	0.18	0.65	0.61	0.0		0.62	0.0	GGTPX
SIGVX	0.86	0.93	0.99	0.0	0.62		0.0	SIGVX
PBMXX	0.0	0.0	0.0	0.0	0.0	0.0		PBMXX
	RYAQX	TWARX	SSAGX	IVMXX	GGTPX	SIGVX	PBMXX

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

SIGVX	+ 0.99	SSAGX
SSAGX	+ 0.93	TWARX
SIGVX	+ 0.93	TWARX
SSAGX	+ 0.86	RYAQX
SIGVX	+ 0.86	RYAQX
TWARX	+ 0.81	RYAQX

High negative correlations

PBMXX	- 0.0	SIGVX
PBMXX	- 0.0	GGTPX
PBMXX	- 0.0	IVMXX
SIGVX	- 0.0	IVMXX
GGTPX	- 0.0	IVMXX
PBMXX	- 0.0	SSAGX

Risk-Adjusted Indicators

There is a big difference between Ultra-short Mutual Fund performing well and Ultra-short Fixed 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 Ultra-short Fixed'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
RYAQX	0.41	0.09	(0.06)	(0.35)	0.28	(0.48)	1.00	(0.61)	2.02
TWARX	0.04	0.00	(0.83)	0.75	0.00	(0.14)	0.11	(0.11)	0.33
SSAGX	0.05	0.01	0.00	(1.36)	0.00	0.00	0.10	(0.10)	0.51
IVMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GGTPX	0.15	(0.02)	(0.44)	(0.17)	0.20	(0.16)	0.30	(0.30)	0.76
SIGVX	0.07	0.01	(0.78)	1.51	0.00	(0.14)	0.10	(0.10)	0.51
PBMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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