Core Fixed Correlations

TIIUX Fund

USD 6.86 0.03 0.44%

The current 90-days correlation between Core Fixed Income and T Rowe Price is 0.24 (i.e., Modest diversification). The correlation of Core 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.

Core Fixed Correlation With Market

Average diversification

The correlation between Core Fixed Income and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Core 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 Core 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 signals in producer price index.

Moving together with Core Mutual Fund

0.89	MPFDX	Corporate Bond Portfolio	Pair Corr
0.7	MSBOX	Corporate Bond Portfolio	Pair Corr

Moving against Core Mutual Fund

0.35	MSCMX	Morgan Stanley Multi	Pair Corr
0.33	MAIHX	Morgan Stanley Insti	Pair Corr
0.33	MSAQX	Asia Opportunity Por	Pair Corr
0.33	MSAWX	Asia Opportunity Por	Pair Corr
0.33	MSAYX	Asia Opportunity Por	Pair Corr
0.31	MAIJX	Morgan Stanley Insti	Pair Corr

Related Correlations Analysis

	PATFX	CIPMX	USCAX	BOSVX	SMPIX	CHASX	PARCX
PATFX		0.09	0.13	0.22	0.32	0.38	0.27	PATFX
CIPMX	0.09		0.84	0.9	0.52	0.71	0.75	CIPMX
USCAX	0.13	0.84		0.96	0.45	0.88	0.76	USCAX
BOSVX	0.22	0.9	0.96		0.47	0.88	0.77	BOSVX
SMPIX	0.32	0.52	0.45	0.47		0.63	0.79	SMPIX
CHASX	0.38	0.71	0.88	0.88	0.63		0.79	CHASX
PARCX	0.27	0.75	0.76	0.77	0.79	0.79		PARCX
	PATFX	CIPMX	USCAX	BOSVX	SMPIX	CHASX	PARCX

Risk-Adjusted Indicators

There is a big difference between Core Mutual Fund performing well and Core 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 Core 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
PATFX	0.09	0.02	(0.32)	(1.84)	0.00	(0.13)	0.27	(0.18)	0.72
CIPMX	0.99	0.32	0.34	0.92	0.35	(1.29)	1.35	(1.22)	22.21
USCAX	0.90	0.08	0.07	0.13	1.01	(0.99)	2.03	(1.93)	6.83
BOSVX	0.96	0.14	0.13	0.19	0.83	(1.15)	2.20	(1.44)	8.57
SMPIX	2.71	0.34	0.11	0.21	3.29	(2.81)	6.54	(5.70)	24.53
CHASX	1.05	0.18	0.13	0.23	1.02	(1.15)	1.99	(2.53)	12.57
PARCX	0.40	0.08	0.06	0.55	0.33	(0.42)	0.82	(0.73)	3.94

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