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.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Global Allocation 2575. 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 employment.

Moving together with Global Mutual Fund

0.91	FASIX	Fidelity Asset Manager	Pair Corr
0.91	FTIWX	Fidelity Asset Manager	Pair Corr
0.91	FTDWX	Fidelity Asset Manager	Pair Corr
0.91	FTAWX	Fidelity Asset Manager	Pair Corr
0.91	FIKVX	Fidelity Asset Manager	Pair Corr
0.91	FTCWX	Fidelity Asset Manager	Pair Corr
0.89	VASIX	Vanguard Lifestrategy	Pair Corr
0.91	PFIPX	Strategic Asset Mana	Pair Corr
0.89	MGHRX	Morgan Stanley Insti	Pair Corr
0.9	MBIRX	Morgan Stanley Insight	Pair Corr
0.89	MGRPX	Growth Portfolio Class	Pair Corr
0.89	MCRTX	Morgan Stanley Multi	Pair Corr
0.92	ONERX	One Rock Fund Steady Growth	Pair Corr
0.89	MSGUX	Growth Portfolio Class	Pair Corr
0.69	CVX	Chevron Corp	Pair Corr
0.64	MSFT	Microsoft	Pair Corr
0.64	JNJ	Johnson Johnson	Pair Corr
0.64	DD	Dupont De Nemours	Pair Corr
0.71	CAT	Caterpillar	Pair Corr

Moving against Global Mutual Fund

0.78	PG	Procter Gamble	Pair Corr
0.34	MCD	McDonalds	Pair Corr

Related Correlations Analysis

	FAGIX	JDHYX	GMOZX	MRHYX	DNHYX	SGYAX	TAHFX
FAGIX		0.98	0.99	0.99	0.97	0.98	0.98	FAGIX
JDHYX	0.98		0.99	0.98	0.98	0.99	0.98	JDHYX
GMOZX	0.99	0.99		0.98	0.97	0.98	0.97	GMOZX
MRHYX	0.99	0.98	0.98		0.99	0.98	0.99	MRHYX
DNHYX	0.97	0.98	0.97	0.99		0.98	0.98	DNHYX
SGYAX	0.98	0.99	0.98	0.98	0.98		0.98	SGYAX
TAHFX	0.98	0.98	0.97	0.99	0.98	0.98		TAHFX
	FAGIX	JDHYX	GMOZX	MRHYX	DNHYX	SGYAX	TAHFX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FAGIX	0.24	0.05	(0.05)	0.26	(0.35)	0.68	(0.29)	1.97
JDHYX	0.16	0.04	(0.28)	0.33	(0.26)	0.56	(0.14)	1.26
GMOZX	0.13	0.03	(0.27)	0.27	(0.18)	0.29	(0.23)	1.29
MRHYX	0.12	0.05	(0.36)	(4.70)	(0.18)	0.24	(0.12)	1.19
DNHYX	0.14	0.05	(0.27)	(30.37)	(0.20)	0.24	(0.12)	1.52
SGYAX	0.14	0.03	(0.38)	0.33	(0.25)	0.43	(0.14)	0.99
TAHFX	0.14	0.00	(0.36)	0.00	(0.23)	0.37	(0.13)	1.00

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