Core Fixed Correlations

TIIUX Fund

USD 6.78 0.02 0.30%

The current 90-days correlation between Core Fixed Income and Emerging Markets Equity is -0.08 (i.e., Good diversification). The correlation of Core Fixed 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.

Core Fixed Correlation With Market

Good diversification

The correlation between Core Fixed Income and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Core Fixed Income and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Core Fixed Income. 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 Core Mutual Fund

0.89	DINDX	Global Fixed Income	Pair Corr
0.89	DINCX	Global Fixed Income	Pair Corr
0.9	DINAX	Global Fixed Income	Pair Corr
0.92	TILUX	Inflation Linked Fixed	Pair Corr
0.93	MORGX	Morgan Stanley Mortgage	Pair Corr
0.89	MPFDX	Corporate Bond Portfolio	Pair Corr
0.78	MSBOX	Corporate Bond Portfolio	Pair Corr

Moving against Core Mutual Fund

0.56	MMCGX	Mid Cap Growth	Pair Corr
0.49	MPEGX	Mid Cap Growth	Pair Corr
0.45	MPAIX	Advantage Portfolio Class	Pair Corr
0.34	MLMCX	Global E Portfolio	Pair Corr
0.33	MLMAX	Global E Portfolio	Pair Corr
0.33	MLMIX	Global E Portfolio	Pair Corr
0.33	MLMSX	Global E Portfolio	Pair Corr
0.62	MSCOX	Msif Small Pany	Pair Corr
0.56	MACGX	Mid Cap Growth	Pair Corr
0.56	MSCMX	Morgan Stanley Multi Steady Growth	Pair Corr
0.53	MAPLX	Advantage Portfolio Class	Pair Corr
0.45	MADSX	Msif Advantage Port	Pair Corr
0.45	MAPPX	Advantage Portfolio Class	Pair Corr
0.38	MSDOX	Morgan Stanley Insti	Pair Corr

Related Correlations Analysis

	TEMUX	DINDX	DINCX	DINAX	MLMAX	MLMCX	MLNSX	MLMIX	MLMSX	MLNCX
TEMUX		0.34	0.33	0.34	0.66	0.66	0.7	0.66	0.66	0.69	TEMUX
DINDX	0.34		0.98	1.0	-0.19	-0.2	-0.14	-0.19	-0.19	-0.14	DINDX
DINCX	0.33	0.98		0.98	-0.19	-0.19	-0.14	-0.19	-0.19	-0.14	DINCX
DINAX	0.34	1.0	0.98		-0.18	-0.19	-0.13	-0.18	-0.18	-0.13	DINAX
MLMAX	0.66	-0.19	-0.19	-0.18		1.0	0.99	1.0	1.0	0.99	MLMAX
MLMCX	0.66	-0.2	-0.19	-0.19	1.0		0.99	1.0	1.0	0.99	MLMCX
MLNSX	0.7	-0.14	-0.14	-0.13	0.99	0.99		0.99	0.99	1.0	MLNSX
MLMIX	0.66	-0.19	-0.19	-0.18	1.0	1.0	0.99		1.0	0.99	MLMIX
MLMSX	0.66	-0.19	-0.19	-0.18	1.0	1.0	0.99	1.0		0.99	MLMSX
MLNCX	0.69	-0.14	-0.14	-0.13	0.99	0.99	1.0	0.99	0.99		MLNCX
	TEMUX	DINDX	DINCX	DINAX	MLMAX	MLMCX	MLNSX	MLMIX	MLMSX	MLNCX

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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

DINAX	+ 1.0	DINDX
MLMCX	+ 1.0	MLMAX
MLMIX	+ 1.0	MLMAX
MLMSX	+ 1.0	MLMAX
MLMIX	+ 1.0	MLMCX
MLMSX	+ 1.0	MLMCX

High negative correlations

MLMCX	- 0.2	DINDX
MLMCX	- 0.19	DINAX
MLMSX	- 0.19	DINCX
MLMIX	- 0.19	DINCX
MLMCX	- 0.19	DINCX
MLMAX	- 0.19	DINCX

Risk-Adjusted Indicators

There is a big difference between Core Mutual Fund performing well and Core Fixed 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 Core Fixed'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
TEMUX	1.03	0.13	0.12	0.05	1.49	(1.04)	1.81	(2.35)	7.82
DINDX	0.15	0.01	0.51	(0.68)	0.06	(0.22)	0.19	(0.38)	1.14
DINCX	0.16	0.02	0.56	(0.90)	0.06	(0.23)	0.39	(0.39)	0.97
DINAX	0.14	0.01	0.52	(0.61)	0.06	(0.22)	0.20	(0.19)	1.16
MLMAX	1.29	0.05	0.00	(0.11)	0.00	0.00	2.06	(3.04)	12.25
MLMCX	1.29	0.05	0.00	(0.11)	0.00	0.00	2.06	(3.10)	12.27
MLNSX	1.36	0.07	0.00	(0.09)	0.00	0.00	2.17	(3.03)	11.80
MLMIX	1.29	0.05	0.00	(0.10)	0.00	0.00	2.09	(3.05)	12.32
MLMSX	1.30	0.05	0.00	(0.10)	0.00	0.00	2.09	(3.05)	12.31
MLNCX	1.36	0.07	0.00	(0.09)	0.00	0.00	2.13	(3.04)	11.81

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