Multifactor Equity Correlations

RTDAX Fund

USD 16.29 0.01 0.06%

The current 90-days correlation between Multifactor Equity and T Rowe Price is -0.08 (i.e., Good diversification). The correlation of Multifactor Equity 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.

Multifactor Equity Correlation With Market

Good diversification

The correlation between Multifactor Equity Fund and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Multifactor Equity Fund. 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 nation.

Moving together with Multifactor Mutual Fund

0.87	VTSAX	Vanguard Total Stock	Pair Corr
0.87	VFIAX	Vanguard 500 Index	Pair Corr
0.87	VTSMX	Vanguard Total Stock	Pair Corr
1.0	VITSX	Vanguard Total Stock	Pair Corr
0.87	VSMPX	Vanguard Total Stock	Pair Corr
0.87	VSTSX	Vanguard Total Stock	Pair Corr
1.0	VFINX	Vanguard 500 Index	Pair Corr
0.87	VFFSX	Vanguard 500 Index	Pair Corr
1.0	VINIX	Vanguard Institutional	Pair Corr
1.0	VIIIX	Vanguard Institutional	Pair Corr
0.93	CPAYX	Columbia Pacific/asia	Pair Corr
0.79	CASAX	Columbia Pacificasia	Pair Corr
0.77	CCCZX	Center St Brookfield	Pair Corr
0.95	CASCX	Columbia Pacificasia	Pair Corr
0.87	MGHRX	Morgan Stanley Insti	Pair Corr
0.87	MSEQX	Growth Portfolio Class	Pair Corr
0.97	MSHLX	Growth Portfolio Class	Pair Corr
0.63	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.61	AA	Alcoa Corp	Pair Corr
0.64	CAT	Caterpillar	Pair Corr
0.66	CVX	Chevron Corp Earnings Call This Week	Pair Corr

Moving against Multifactor Mutual Fund

0.42

TRV

The Travelers Companies

Pair Corr

Related Correlations Analysis

	TMSRX	EICVX	BOSVX	PRVBX	REMVX	BBHLX
TMSRX		0.42	0.43	0.67	0.41	0.71	TMSRX
EICVX	0.42		0.94	0.8	0.96	0.56	EICVX
BOSVX	0.43	0.94		0.79	0.96	0.57	BOSVX
PRVBX	0.67	0.8	0.79		0.78	0.52	PRVBX
REMVX	0.41	0.96	0.96	0.78		0.58	REMVX
BBHLX	0.71	0.56	0.57	0.52	0.58		BBHLX
	TMSRX	EICVX	BOSVX	PRVBX	REMVX	BBHLX

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Risk-Adjusted Indicators

There is a big difference between Multifactor Mutual Fund performing well and Multifactor Equity 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 Multifactor Equity'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
TMSRX	0.08	0.02	(1.40)	(0.41)	0.00	(0.14)	0.22	(0.11)	0.43
EICVX	0.58	0.18	(0.10)	(1.77)	0.52	(0.63)	1.42	(1.23)	3.48
BOSVX	0.97	0.06	0.09	0.28	0.72	(1.19)	2.42	(1.45)	6.40
PRVBX	0.09	0.02	(1.45)	(10.83)	0.00	(0.10)	0.20	(0.17)	0.63
REMVX	0.58	0.33	0.14	(6.69)	0.00	(0.85)	1.76	(0.87)	4.92
BBHLX	0.51	0.17	(0.15)	(1.17)	0.32	(0.61)	1.40	(0.92)	3.37

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