Harbor Diversified Correlations

HIIDX Fund

USD 12.29 0.16 1.32%

The current 90-days correlation between Harbor Diversified and Calvert International Equity is 0.96 (i.e., Almost no diversification). The correlation of Harbor Diversified 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.

Harbor Diversified Correlation With Market

Very poor diversification

The correlation between Harbor Diversified Internation and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Harbor Diversified Internation and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Harbor Diversified International. 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 unemployment.

Moving together with Harbor Mutual Fund

0.97	VGTSX	Vanguard Total Inter	Pair Corr
1.0	VTIAX	Vanguard Total Inter	Pair Corr
0.97	VTSNX	Vanguard Total Inter	Pair Corr
0.97	VTPSX	Vanguard Total Inter	Pair Corr
0.97	VTISX	Vanguard Total Inter	Pair Corr
0.95	VTMGX	Vanguard Developed	Pair Corr
0.95	VDVIX	Vanguard Developed	Pair Corr
0.95	VTMNX	Vanguard Developed	Pair Corr
0.99	VDIPX	Vanguard Developed	Pair Corr
0.94	FSPSX	Fidelity International	Pair Corr
0.83	CPAYX	Columbia Pacificasia	Pair Corr
0.79	LIRRX	Lord Abbett International	Pair Corr
0.67	IBM	International Business Earnings Call This Week	Pair Corr
0.82	MMM	3M Company	Pair Corr
0.67	INTC	Intel	Pair Corr
0.71	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.83	GE	GE Aerospace Earnings Call This Week	Pair Corr
0.67	PG	Procter Gamble Earnings Call This Week	Pair Corr
0.63	XOM	Exxon Mobil Corp	Pair Corr

Related Correlations Analysis

	CIESX	ARTNX	LOGRX	SPRDX	FDAGX	PWITX	RBCIX	QLENX
CIESX		0.91	0.0	0.77	0.7	0.75	0.59	0.6	CIESX
ARTNX	0.91		0.0	0.63	0.61	0.63	0.47	0.6	ARTNX
LOGRX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	LOGRX
SPRDX	0.77	0.63	0.0		0.38	0.47	0.38	0.24	SPRDX
FDAGX	0.7	0.61	0.0	0.38		0.65	0.57	0.52	FDAGX
PWITX	0.75	0.63	0.0	0.47	0.65		0.9	0.9	PWITX
RBCIX	0.59	0.47	0.0	0.38	0.57	0.9		0.81	RBCIX
QLENX	0.6	0.6	0.0	0.24	0.52	0.9	0.81		QLENX
	CIESX	ARTNX	LOGRX	SPRDX	FDAGX	PWITX	RBCIX	QLENX

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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

ARTNX	+ 0.91	CIESX
RBCIX	+ 0.9	PWITX
QLENX	+ 0.9	PWITX
QLENX	+ 0.81	RBCIX
SPRDX	+ 0.77	CIESX
PWITX	+ 0.75	CIESX

High negative correlations

QLENX	- 0.0	LOGRX
RBCIX	- 0.0	LOGRX
PWITX	- 0.0	LOGRX
FDAGX	- 0.0	LOGRX
SPRDX	- 0.0	LOGRX
LOGRX	- 0.0	ARTNX

Risk-Adjusted Indicators

There is a big difference between Harbor Mutual Fund performing well and Harbor Diversified 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 Harbor Diversified'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
CIESX	0.95	0.06	0.05	0.01	1.57	(0.91)	1.75	(2.03)	8.27
ARTNX	0.89	0.08	0.06	0.01	1.46	(0.88)	1.99	(1.96)	9.41
LOGRX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SPRDX	1.02	0.00	0.00	(0.07)	0.00	0.00	1.53	(1.60)	17.53
FDAGX	0.99	0.05	0.05	0.01	1.49	(1.00)	1.52	(1.99)	8.34
PWITX	0.84	0.15	0.11	0.14	1.37	(0.80)	1.72	(1.52)	8.64
RBCIX	1.55	0.08	0.06	(3.51)	2.19	(1.75)	3.48	(2.92)	12.44
QLENX	0.58	0.10	0.13	0.15	1.00	(0.55)	1.08	(0.88)	5.33

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