Core Fixed Correlations

TIIUX Fund

USD 6.89 0.02 0.29%

The current 90-days correlation between Core Fixed Income and T Rowe Price is 0.31 (i.e., Weak 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

Poor diversification

The correlation between Core Fixed Income and DJI is 0.78 (i.e., Poor 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 population.

Moving together with CORE Mutual Fund

0.76	TEMUX	Emerging Markets Equity	Pair Corr
0.76	MLMAX	Global E Portfolio	Pair Corr
0.75	MLMCX	Global E Portfolio	Pair Corr
0.73	MLNSX	Global Centrated Por	Pair Corr
0.79	MLMIX	Global E Portfolio	Pair Corr
0.79	MLMSX	Global E Portfolio	Pair Corr
0.72	MLNCX	Global Centrated Por	Pair Corr
0.67	MLNAX	Global Centrated Por	Pair Corr
0.73	MLNIX	Global Centrated Por	Pair Corr
0.88	THYUX	High Yield Fund	Pair Corr
0.78	TIEUX	International Equity	Pair Corr
0.8	MPBAX	Global Strategist	Pair Corr
0.87	MPFDX	Corporate Bond Portfolio	Pair Corr
0.76	MRHYX	Msift High Yield	Pair Corr
0.79	MAIJX	Morgan Stanley Insti	Pair Corr
0.79	MAIHX	Morgan Stanley Insti	Pair Corr
0.76	MSBOX	Corporate Bond Portfolio	Pair Corr
0.79	MSAAX	Active International	Pair Corr
0.8	MSACX	Active International	Pair Corr

Moving against CORE Mutual Fund

0.72	MMKBX	Emerging Markets Por	Pair Corr
0.67	MMMPX	Msif Emerging Markets	Pair Corr
0.67	MRGEX	Msif Emerging Markets	Pair Corr
0.46	MPAIX	Advantage Portfolio Class Potential Growth	Pair Corr
0.46	MADSX	Msif Advantage Port Potential Growth	Pair Corr
0.51	MAPPX	Advantage Portfolio Class Potential Growth	Pair Corr
0.49	MSCOX	Msif Small Pany	Pair Corr
0.46	MAPLX	Advantage Portfolio Class Potential Growth	Pair Corr
0.38	MSCMX	Morgan Stanley Multi	Pair Corr

Related Correlations Analysis

	HHMAX	FHYVX	FAFMX	FYMNX	MSTPX	ABIMX	PRFHX
HHMAX		0.97	0.86	0.98	0.97	0.91	0.96	HHMAX
FHYVX	0.97		0.91	0.99	0.95	0.94	0.98	FHYVX
FAFMX	0.86	0.91		0.9	0.9	0.96	0.91	FAFMX
FYMNX	0.98	0.99	0.9		0.96	0.93	0.96	FYMNX
MSTPX	0.97	0.95	0.9	0.96		0.92	0.93	MSTPX
ABIMX	0.91	0.94	0.96	0.93	0.92		0.95	ABIMX
PRFHX	0.96	0.98	0.91	0.96	0.93	0.95		PRFHX
	HHMAX	FHYVX	FAFMX	FYMNX	MSTPX	ABIMX	PRFHX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
HHMAX	0.07	0.01	(0.43)	1.40	(0.15)	0.12	(0.12)	0.60
FHYVX	0.09	0.02	(0.31)	14.21	(0.16)	0.23	(0.11)	0.90
FAFMX	0.07	0.00	(0.53)	0.27	(0.13)	0.19	(0.09)	0.75
FYMNX	0.07	0.01	(0.49)	1.08	(0.14)	0.19	(0.09)	0.66
MSTPX	0.05	0.01	(0.56)	(1.69)	(0.11)	0.10	(0.10)	0.40
ABIMX	0.08	0.00	(0.35)	0.59	(0.15)	0.21	(0.10)	0.93
PRFHX	0.08	0.01	(0.51)	(0.70)	(0.14)	0.18	(0.09)	0.81

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