Global Managed Correlations

UGOFX Fund

USD 11.74 0.03 0.26%

The current 90-days correlation between Global Managed Volatility and Mirova Global Green is -0.06 (i.e., Good diversification). The correlation of Global Managed 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.

Global Managed Correlation With Market

Poor diversification

The correlation between Global Managed Volatility and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Managed Volatility 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 Global Managed Volatility. 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 census.

Moving together with Global Mutual Fund

0.98	UICGX	Capital Growth	Pair Corr
0.73	UIHIX	High Income Fund	Pair Corr
0.8	UIGIX	Growth Income	Pair Corr
0.71	UIGRX	Growth Fund Growth	Pair Corr
0.79	UIISX	Income Stock	Pair Corr
0.7	UISCX	Small Cap Stock	Pair Corr
0.79	UIVAX	Value Fund Value	Pair Corr
0.98	UIWGX	World Growth	Pair Corr
0.71	URHIX	High Income Fund	Pair Corr
0.8	URNQX	Nasdaq 100 Index	Pair Corr
0.77	USPRX	Sp 500 Index	Pair Corr
0.88	UTMAX	Target Managed Allocation	Pair Corr
0.77	UIAGX	Aggressive Growth	Pair Corr
0.88	FCWGX	American Funds Capital	Pair Corr
0.88	FWCGX	American Funds Capital	Pair Corr
0.97	CWGIX	Capital World Growth	Pair Corr
0.97	CWGFX	Capital World Growth	Pair Corr
0.97	CWGCX	Capital World Growth	Pair Corr
0.97	RWIFX	Capital World Growth	Pair Corr
0.97	CWICX	Capital World Growth	Pair Corr
0.97	RWIAX	Capital World Growth	Pair Corr
0.97	CWIAX	Capital World Growth	Pair Corr
0.97	WGIFX	Capital World Growth	Pair Corr
0.76	VTSAX	Vanguard Total Stock	Pair Corr
0.72	VFIAX	Vanguard 500 Index	Pair Corr
0.77	VTSMX	Vanguard Total Stock	Pair Corr
0.76	VSMPX	Vanguard Total Stock	Pair Corr
0.76	VSTSX	Vanguard Total Stock	Pair Corr

Moving against Global Mutual Fund

0.39	UIITX	Intermediate Term Bond	Pair Corr
0.37	URIBX	Intermediate Term Bond	Pair Corr
0.36	UIGSX	Government Securities	Pair Corr
0.32	URIFX	Income Fund Income	Pair Corr
0.31	UIINX	Income Fund Income	Pair Corr

Related Correlations Analysis

	MGGNX	PATFX	BSGAX	IMLXX	ARTFX	TOHIX	MBSAX
MGGNX		0.78	0.65	-0.09	0.25	0.73	0.77	MGGNX
PATFX	0.78		0.69	-0.13	0.2	0.95	0.79	PATFX
BSGAX	0.65	0.69		0.18	0.58	0.63	0.61	BSGAX
IMLXX	-0.09	-0.13	0.18		0.8	-0.34	-0.31	IMLXX
ARTFX	0.25	0.2	0.58	0.8		0.03	0.17	ARTFX
TOHIX	0.73	0.95	0.63	-0.34	0.03		0.82	TOHIX
MBSAX	0.77	0.79	0.61	-0.31	0.17	0.82		MBSAX
	MGGNX	PATFX	BSGAX	IMLXX	ARTFX	TOHIX	MBSAX

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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

TOHIX	+ 0.95	PATFX
MBSAX	+ 0.82	TOHIX
ARTFX	+ 0.8	IMLXX
MBSAX	+ 0.79	PATFX
PATFX	+ 0.78	MGGNX
MBSAX	+ 0.77	MGGNX

High negative correlations

TOHIX	- 0.34	IMLXX
MBSAX	- 0.31	IMLXX
IMLXX	- 0.13	PATFX
IMLXX	- 0.09	MGGNX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Managed 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 Global Managed'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
MGGNX	0.19	0.00	(0.43)	(1.05)	0.18	(0.25)	0.34	(0.34)	1.13
PATFX	0.15	0.02	(0.27)	(0.04)	0.23	(0.25)	0.44	(0.35)	1.69
BSGAX	0.09	0.00	(0.76)	(0.12)	0.00	(0.16)	0.24	(0.12)	0.72
IMLXX	0.03	0.01	0.00	(0.37)	0.00	0.00	0.00	0.00	1.01
ARTFX	0.12	0.04	(0.60)	(1.12)	0.00	(0.20)	0.33	(0.22)	1.01
TOHIX	0.13	0.01	(0.37)	0.02	0.17	(0.20)	0.28	(0.36)	1.20
MBSAX	0.21	0.00	(0.36)	0.07	0.23	(0.23)	0.37	(0.44)	1.25

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