Short Duration Correlations

WEFIX Fund

USD 12.10 0.01 0.08%

The current 90-days correlation between Short Duration Income and Nuveen Real Asset is -0.06 (i.e., Good 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

Very poor diversification

The correlation between Short Duration Income and DJI is 0.89 (i.e., Very poor 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 signals in gross domestic product.

Moving together with Short Mutual Fund

0.98	SAFEX	Weitz Ultra Short	Pair Corr
0.99	WSHNX	Short Duration Income	Pair Corr
0.68	WBALX	Balanced Fund Balanced	Pair Corr
0.73	WBAIX	Weitz Balanced	Pair Corr
0.92	WCPBX	Core Plus Income	Pair Corr
0.95	WNTFX	Nebraska Tax Free	Pair Corr
0.69	WPVIX	Partners Value	Pair Corr
0.91	VBIRX	Vanguard Short Term	Pair Corr
0.93	VFSUX	Vanguard Short Term	Pair Corr
0.95	VFSTX	Vanguard Short Term	Pair Corr
0.91	VBISX	Vanguard Short Term	Pair Corr
0.94	VSCSX	Vanguard Short Term	Pair Corr
0.91	NHS	Neuberger Berman High	Pair Corr
0.84	JSCRX	Prudential Jennison Small	Pair Corr
0.93	CGIFX	International Growth And	Pair Corr
0.89	PVCMX	Palm Valley Capital	Pair Corr
0.9	CWGIX	Capital World Growth	Pair Corr
0.93	PELAX	Pimco Emerging Local	Pair Corr
0.86	NWCPX	Nationwide E Plus	Pair Corr
0.83	VFIDX	Vanguard Intermediate	Pair Corr
0.91	EKGIX	Wells Fargo Global	Pair Corr
0.95	RITAX	American High Income	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.93	NPNRX	Neuberger Berman Large	Pair Corr
0.92	AMDWX	Amana Developing World	Pair Corr
0.91	PARLX	T Rowe Price	Pair Corr
0.91	TWSMX	Strategic Allocation	Pair Corr
0.85	BRSDX	Mfs Blended Research	Pair Corr
0.94	FMNEX	Free Market International	Pair Corr

Related Correlations Analysis

	DFLEX	DLINX	SSIZX	SSIRX	EOS	PYVSX	PYVAX	AGEPX	RYTFX	NRIAX
DFLEX		0.98	0.4	0.48	-0.09	0.94	0.94	0.99	0.86	0.95	DFLEX
DLINX	0.98		0.35	0.44	-0.04	0.92	0.92	0.98	0.89	0.93	DLINX
SSIZX	0.4	0.35		0.89	-0.5	0.28	0.28	0.44	0.1	0.53	SSIZX
SSIRX	0.48	0.44	0.89		-0.45	0.38	0.38	0.52	0.21	0.6	SSIRX
EOS	-0.09	-0.04	-0.5	-0.45		-0.01	-0.01	-0.13	0.12	-0.26	EOS
PYVSX	0.94	0.92	0.28	0.38	-0.01		1.0	0.93	0.81	0.92	PYVSX
PYVAX	0.94	0.92	0.28	0.38	-0.01	1.0		0.93	0.81	0.92	PYVAX
AGEPX	0.99	0.98	0.44	0.52	-0.13	0.93	0.93		0.84	0.97	AGEPX
RYTFX	0.86	0.89	0.1	0.21	0.12	0.81	0.81	0.84		0.72	RYTFX
NRIAX	0.95	0.93	0.53	0.6	-0.26	0.92	0.92	0.97	0.72		NRIAX
	DFLEX	DLINX	SSIZX	SSIRX	EOS	PYVSX	PYVAX	AGEPX	RYTFX	NRIAX

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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

PYVAX	+ 1.0	PYVSX
AGEPX	+ 0.99	DFLEX
DLINX	+ 0.98	DFLEX
AGEPX	+ 0.98	DLINX
NRIAX	+ 0.97	AGEPX
NRIAX	+ 0.95	DFLEX

High negative correlations

EOS	- 0.5	SSIZX
EOS	- 0.45	SSIRX
NRIAX	- 0.26	EOS
AGEPX	- 0.13	EOS
EOS	- 0.09	DFLEX
EOS	- 0.04	DLINX

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
DFLEX	0.05	0.01	(0.46)	(0.74)	0.00	(0.11)	0.12	(0.11)	0.23
DLINX	0.05	0.01	(0.45)	0.66	0.00	(0.11)	0.12	(0.11)	0.23
SSIZX	0.10	0.02	(0.34)	1.99	0.00	(0.13)	0.25	(0.20)	0.46
SSIRX	0.09	0.02	(0.36)	0.35	0.00	(0.13)	0.21	(0.15)	0.51
EOS	0.71	(0.09)	0.00	(0.06)	0.00	0.00	1.37	(1.74)	3.55
PYVSX	0.48	0.08	0.01	(2.60)	0.53	(0.53)	0.99	(1.11)	2.82
PYVAX	0.48	0.08	0.01	(2.81)	0.54	(0.52)	1.00	(1.12)	2.77
AGEPX	0.15	0.10	0.12	(3.57)	0.00	(0.24)	0.39	(0.14)	1.36
RYTFX	1.01	0.29	0.38	0.28	0.12	(1.36)	2.39	(1.29)	16.09
NRIAX	0.22	0.09	0.04	(2.93)	0.00	(0.26)	0.50	(0.44)	1.25

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