Global Allocation Correlations
| DGTSX Fund | USD 14.25 0.05 0.35% |
The current 90-days correlation between Global Allocation 2575 and Fidelity Capital Income is 0.62 (i.e., Poor diversification). The correlation of Global Allocation 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 Allocation Correlation With Market
Poor diversification
The correlation between Global Allocation 2575 and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Allocation 2575 and DJI in the same portfolio, assuming nothing else is changed.
Global |
Moving together with Global Mutual Fund
| 0.65 | FASIX | Fidelity Asset Manager | PairCorr |
| 0.65 | FTIWX | Fidelity Asset Manager | PairCorr |
| 0.64 | FTDWX | Fidelity Asset Manager | PairCorr |
| 0.65 | FTAWX | Fidelity Asset Manager | PairCorr |
| 0.66 | FIKVX | Fidelity Asset Manager | PairCorr |
| 0.65 | FTCWX | Fidelity Asset Manager | PairCorr |
| 0.65 | VASIX | Vanguard Lifestrategy | PairCorr |
| 0.67 | PFIPX | Strategic Asset Mana | PairCorr |
| 0.67 | ONERX | One Rock Fund Steady Growth | PairCorr |
| 0.69 | CVX | Chevron Corp | PairCorr |
| 0.64 | MSFT | Microsoft | PairCorr |
| 0.64 | JNJ | Johnson Johnson | PairCorr |
| 0.64 | DD | Dupont De Nemours | PairCorr |
| 0.71 | CAT | Caterpillar | PairCorr |
Moving against Global Mutual Fund
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Global Mutual Fund performing well and Global Allocation 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 Allocation'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FAGIX | 0.24 | 0.05 | (0.05) | 0.26 | 0.00 | 0.68 | 1.97 | |||
| JDHYX | 0.16 | 0.04 | (0.28) | 0.33 | 0.00 | 0.56 | 1.26 | |||
| GMOZX | 0.13 | 0.03 | (0.27) | 0.27 | 0.00 | 0.29 | 1.29 | |||
| MRHYX | 0.12 | 0.05 | (0.36) | (4.70) | 0.00 | 0.24 | 1.19 | |||
| DNHYX | 0.14 | 0.05 | (0.27) | (30.37) | 0.00 | 0.24 | 1.52 | |||
| SGYAX | 0.14 | 0.03 | (0.38) | 0.33 | 0.00 | 0.43 | 0.99 | |||
| TAHFX | 0.14 | 0.00 | (0.36) | 0.00 | 0.00 | 0.37 | 1.00 |