Inflation-linked Correlations

Mutual Funds . USA . 
Fund . Inflation Linked Fixed Income
TILUX Fund  USD 8.41  0.00  0.00%   
The current 90-days correlation between Inflation Linked Fixed and Global Centrated Portfolio is 0.23 (i.e., Modest diversification). The correlation of Inflation-linked 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.

Inflation-linked Correlation With Market

Very weak diversification

The correlation between Inflation Linked Fixed Income and DJI is 0.45 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Inflation Linked 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 Inflation Linked 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 Inflation-linked Mutual Fund

  0.67TEMUX Emerging Markets EquityPairCorr
  0.66DINDX Global Fixed IncomePairCorr
  0.87TIFUX International FixedPairCorr
  0.87TIIUX Core Fixed IncomePairCorr
  0.83MPFDX Corporate Bond PortfolioPairCorr
  0.83MSBOX Corporate Bond PortfolioPairCorr
  0.64MSACX Active InternationalPairCorr

Moving against Inflation-linked Mutual Fund

  0.64MPAIX Advantage Portfolio ClassPairCorr
  0.64MADSX Msif Advantage PortPairCorr
  0.48MACGX Mid Cap GrowthPairCorr
  0.46MMCGX Mid Cap GrowthPairCorr
  0.46MPEGX Mid Cap GrowthPairCorr
  0.67MAPPX Advantage Portfolio ClassPairCorr
  0.64MAPLX Advantage Portfolio ClassPairCorr
  0.61MSCMX Morgan Stanley MultiPairCorr
  0.58MSCOX Msif Small PanyPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Inflation-linked Mutual Fund performing well and Inflation-linked 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 Inflation-linked'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TEMUX  0.61  0.14  0.16  0.29  0.43 
(0.73)
 1.51 
(1.03)
 3.72 
DINDX  0.14  0.03 (0.11) 0.56  0.00 
(0.16)
 0.32 
(0.26)
 0.83 
MLMAX  0.71  0.03 (0.02)(0.56) 0.98 
(0.67)
 1.30 
(1.65)
 4.53 
MLMCX  0.70  0.03 (0.02)(0.54) 0.98 
(0.67)
 1.29 
(1.61)
 4.72 
MLNSX  0.78 (0.04)(0.03) 0.02  1.12 
(0.70)
 1.26 
(1.81)
 5.67 
MLMIX  0.68  0.01  0.00  0.06  0.89 
(0.67)
 1.24 
(1.34)
 4.50 
MLMSX  0.67  0.01  0.00  0.06  0.87 
(0.66)
 1.28 
(1.29)
 4.46 
MLNCX  0.77 (0.04)(0.03) 0.02  1.12 
(0.70)
 1.23 
(1.83)
 5.62 
MLNAX  0.79  0.00 (0.05) 0.03  1.17 
(0.70)
 1.26 
(1.84)
 5.62 
MLNIX  0.77 (0.04)(0.03) 0.02  1.13 
(0.70)
 1.26 
(1.85)
 5.65 

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