Multifactor Equity Correlations

RTDCX Fund

USD 16.54 0.07 0.42%

The current 90-days correlation between Multifactor Equity and Fkhemx is 0.81 (i.e., Very poor 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

Very poor diversification

The correlation between Multifactor Equity Fund 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 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 main economic indicators.

Moving together with Multifactor Mutual Fund

0.85	RSBTX	Short Duration Bond	Pair Corr
0.82	RSBYX	Short Duration Bond	Pair Corr
0.63	RSCRX	Us Small Cap	Pair Corr
1.0	RSEAX	Us Strategic Equity	Pair Corr
0.61	RSESX	Us Strategic Equity	Pair Corr
0.85	RSDTX	Short Duration Bond	Pair Corr
1.0	RTDAX	Multifactor Equity	Pair Corr
1.0	RTDSX	Select Equity	Pair Corr
1.0	RTDRX	Select Equity	Pair Corr
1.0	RTDTX	Select Equity	Pair Corr
0.82	RTIRX	Select International	Pair Corr

Moving against Multifactor Mutual Fund

0.47	RTHCX	Tax Exempt High	Pair Corr
0.46	RTHSX	Tax Exempt High	Pair Corr
0.41	RTHAX	Tax Exempt High	Pair Corr

Related Correlations Analysis

	FKHEMX	RPBAX	ABVCX	FFUYUX	FLDFX	FLKYPX	WRLDX	FLAKQX
FKHEMX		0.98	0.96	0.98	0.98	0.98	0.97	0.98	FKHEMX
RPBAX	0.98		0.98	0.97	1.0	0.97	0.98	0.98	RPBAX
ABVCX	0.96	0.98		0.97	0.98	0.98	0.97	0.96	ABVCX
FFUYUX	0.98	0.97	0.97		0.98	0.98	0.97	0.99	FFUYUX
FLDFX	0.98	1.0	0.98	0.98		0.98	0.98	0.98	FLDFX
FLKYPX	0.98	0.97	0.98	0.98	0.98		0.95	0.98	FLKYPX
WRLDX	0.97	0.98	0.97	0.97	0.98	0.95		0.96	WRLDX
FLAKQX	0.98	0.98	0.96	0.99	0.98	0.98	0.96		FLAKQX
	FKHEMX	RPBAX	ABVCX	FFUYUX	FLDFX	FLKYPX	WRLDX	FLAKQX

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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
FKHEMX	0.60	0.08	0.09	0.29	0.06	(0.72)	1.68	(0.88)	4.58
RPBAX	0.35	0.18	(0.06)	(7.56)	0.00	(0.44)	1.23	(0.51)	2.54
ABVCX	0.52	0.23	0.03	(3.83)	0.30	(0.63)	1.42	(0.74)	4.39
FFUYUX	0.86	0.20	0.32	0.37	0.00	(1.15)	2.64	(1.08)	6.91
FLDFX	0.37	0.18	(0.06)	(4.82)	0.00	(0.47)	1.27	(0.56)	2.84
FLKYPX	0.68	0.16	0.23	0.37	0.00	(0.88)	2.07	(0.90)	5.27
WRLDX	0.49	0.16	(0.09)	(4.22)	0.20	(0.57)	1.20	(0.78)	2.90
FLAKQX	0.63	0.15	0.14	0.42	0.00	(0.75)	1.85	(0.80)	3.69

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