Short Duration Correlations

WEFIX Fund

USD 12.09 0.01 0.08%

The current 90-days correlation between Short Duration Income and Inverse Government Long is 0.03 (i.e., Significant diversification). The correlation of Short Duration 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.

Short Duration Correlation With Market

Significant diversification

The correlation between Short Duration Income and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Short Duration Income. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Short Mutual Fund

0.9	VFSUX	Vanguard Short Term	Pair Corr
0.95	VFSIX	Vanguard Short Term	Pair Corr
0.95	VFSTX	Vanguard Short Term	Pair Corr
0.95	VBITX	Vanguard Short Term	Pair Corr
0.95	VBISX	Vanguard Short Term	Pair Corr
0.88	VSCSX	Vanguard Short Term	Pair Corr
0.94	LALDX	Lord Abbett Short	Pair Corr
0.94	LDLAX	Lord Abbett Short	Pair Corr
0.94	LDLRX	Lord Abbett Short	Pair Corr
0.67	CSCO	Cisco Systems	Pair Corr
0.72	JNJ	Johnson Johnson	Pair Corr
0.7	WMT	Walmart Common Stock	Pair Corr
0.67	AA	Alcoa Corp	Pair Corr
0.62	MCD	McDonalds	Pair Corr
0.61	AXP	American Express	Pair Corr
0.72	BAC	Bank of America	Pair Corr
0.7	DD	Dupont De Nemours	Pair Corr
0.73	MRK	Merck Company	Pair Corr

Moving against Short Mutual Fund

0.61	HPQ	HP Inc	Pair Corr
0.36	CVX	Chevron Corp	Pair Corr

Related Correlations Analysis

	RYAQX	USGFX	CGTFX	CGTCX	SNGYX
RYAQX		-0.01	-0.08	-0.31	0.23	RYAQX
USGFX	-0.01		0.99	0.93	0.92	USGFX
CGTFX	-0.08	0.99		0.95	0.89	CGTFX
CGTCX	-0.31	0.93	0.95		0.8	CGTCX
SNGYX	0.23	0.92	0.89	0.8		SNGYX
	RYAQX	USGFX	CGTFX	CGTCX	SNGYX

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

CGTFX	+ 0.99	USGFX
CGTCX	+ 0.95	CGTFX
CGTCX	+ 0.93	USGFX
SNGYX	+ 0.92	USGFX
SNGYX	+ 0.89	CGTFX
SNGYX	+ 0.8	CGTCX

High negative correlations

CGTCX	- 0.31	RYAQX
CGTFX	- 0.08	RYAQX
USGFX	- 0.01	RYAQX

Risk-Adjusted Indicators

There is a big difference between Short Mutual Fund performing well and Short Duration 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 Short Duration'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
RYAQX	0.39	0.03	(0.05)	(1.47)	0.41	(0.43)	0.98	(0.61)	2.24
USGFX	0.14	0.01	(0.21)	0.53	0.09	(0.17)	0.33	(0.25)	0.91
CGTFX	0.14	0.01	(0.21)	1.90	0.09	(0.17)	0.33	(0.25)	0.91
CGTCX	0.14	0.00	(0.23)	0.15	0.11	(0.17)	0.25	(0.25)	0.91
SNGYX	0.13	0.01	(0.25)	(2.38)	0.03	(0.18)	0.29	(0.29)	0.77

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