Inflation Protected Correlations

VCTPX Fund

USD 8.58 0.16 1.83%

The current 90-days correlation between Inflation Protected and College Retirement Equities is 0.06 (i.e., Significant diversification). The correlation of Inflation Protected 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 Protected Correlation With Market

Weak diversification

The correlation between Inflation Protected Fund and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Inflation Protected Fund 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 Protected Fund. 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 american community survey.

Moving together with Inflation Mutual Fund

0.65	VBCVX	Broad Cap Value	Pair Corr
0.89	VCBDX	Valic Company I	Pair Corr
0.64	VCGEX	Emerging Economies	Pair Corr
0.95	VCGSX	Government Securities	Pair Corr
0.89	VCFVX	Foreign Value	Pair Corr
0.88	VCIEX	International Equities	Pair Corr
0.84	VCIFX	International Government	Pair Corr
0.76	VCIGX	Valic Company I	Pair Corr
0.68	VCINX	International Growth	Pair Corr
0.9	VCSOX	Global Social Awareness	Pair Corr
0.83	VGCLX	Valic Company I	Pair Corr
0.73	VGLSX	Global Strategy	Pair Corr
0.63	VGREX	Global Real Estate	Pair Corr
0.85	VHYLX	Valic Company I	Pair Corr
0.81	VIOPX	Valic Company I	Pair Corr
0.64	VLAGX	Valic Company I	Pair Corr
0.74	VLSMX	Valic Company I	Pair Corr
0.97	VIPSX	Vanguard Inflation-protec	Pair Corr
1.0	VIPIX	Vanguard Inflation-protec	Pair Corr
0.97	VAIPX	Vanguard Inflation	Pair Corr
0.97	FLIBX	American Funds Inflation	Pair Corr

Moving against Inflation Mutual Fund

0.41	VCBCX	Blue Chip Growth	Pair Corr
0.34	VCULX	Growth Fund Growth	Pair Corr
0.31	VAPPX	Valic Company I	Pair Corr

Related Correlations Analysis

	QCGLRX	IRGPX	MXDPX	TDIFX	VTTHX	TCTZX	FLMTX	BIMPX
QCGLRX		0.97	0.82	0.74	0.91	0.87	0.76	0.9	QCGLRX
IRGPX	0.97		0.89	0.74	0.95	0.89	0.77	0.92	IRGPX
MXDPX	0.82	0.89		0.9	0.93	0.96	0.9	0.94	MXDPX
TDIFX	0.74	0.74	0.9		0.81	0.95	0.91	0.92	TDIFX
VTTHX	0.91	0.95	0.93	0.81		0.94	0.82	0.95	VTTHX
TCTZX	0.87	0.89	0.96	0.95	0.94		0.91	0.99	TCTZX
FLMTX	0.76	0.77	0.9	0.91	0.82	0.91		0.89	FLMTX
BIMPX	0.9	0.92	0.94	0.92	0.95	0.99	0.89		BIMPX
	QCGLRX	IRGPX	MXDPX	TDIFX	VTTHX	TCTZX	FLMTX	BIMPX

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Risk-Adjusted Indicators

There is a big difference between Inflation Mutual Fund performing well and Inflation Protected 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 Protected'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
QCGLRX	0.64	(0.04)	0.00	0.17	0.00	0.00	1.06	(1.49)	3.68
IRGPX	0.48	(0.05)	0.00	0.23	0.00	0.00	0.97	(1.21)	3.18
MXDPX	0.26	(0.03)	0.00	0.29	0.00	0.00	0.61	(0.49)	1.60
TDIFX	0.15	0.00	0.25	(0.07)	0.17	(0.19)	0.35	(0.34)	1.13
VTTHX	0.42	(0.03)	0.00	0.20	0.00	0.00	0.70	(1.01)	2.64
TCTZX	0.28	(0.01)	0.14	0.07	0.37	(0.31)	0.49	(0.49)	1.81
FLMTX	0.27	0.02	0.15	0.00	0.39	(0.27)	0.57	(0.47)	1.80
BIMPX	0.32	(0.01)	0.12	0.01	0.44	(0.38)	0.70	(0.62)	2.39

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