Stock Index Correlations
VSTIX Fund | USD 63.19 0.25 0.40% |
The current 90-days correlation between Stock Index Fund and Old Westbury California is 0.2 (i.e., Modest diversification). The correlation of Stock Index 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.
Stock Index Correlation With Market
Very poor diversification
The correlation between Stock Index Fund and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stock Index Fund and DJI in the same portfolio, assuming nothing else is changed.
Stock |
Moving together with Stock Mutual Fund
0.99 | VMSGX | Mid Cap Strategic | PairCorr |
1.0 | VCGAX | Growth Income | PairCorr |
0.98 | VCGEX | Emerging Economies | PairCorr |
0.97 | VVSGX | Valic Company I | PairCorr |
0.95 | VVSCX | Valic Company I | PairCorr |
0.98 | VHYLX | Valic Company I | PairCorr |
0.99 | VTSAX | Vanguard Total Stock | PairCorr |
1.0 | VFIAX | Vanguard 500 Index | PairCorr |
0.99 | VTSMX | Vanguard Total Stock | PairCorr |
1.0 | VITSX | Vanguard Total Stock | PairCorr |
0.99 | VSMPX | Vanguard Total Stock | PairCorr |
0.99 | VSTSX | Vanguard Total Stock | PairCorr |
1.0 | VFINX | Vanguard 500 Index | PairCorr |
0.99 | VFFSX | Vanguard 500 Index | PairCorr |
1.0 | VINIX | Vanguard Institutional | PairCorr |
1.0 | VIIIX | Vanguard Institutional | PairCorr |
0.77 | GAAKX | Gmo Alternative Allo | PairCorr |
0.75 | GAAGX | Gmo Alternative Allo | PairCorr |
0.68 | GPBFX | Gmo E Plus | PairCorr |
0.99 | TRROX | T Rowe Price | PairCorr |
0.95 | AGEAX | Arbitrage Event | PairCorr |
0.99 | FZROX | Fidelity Zero Total | PairCorr |
0.99 | FWWNX | American Funds New | PairCorr |
0.98 | VEMRX | Vanguard Emerging Markets | PairCorr |
0.98 | RRMVX | T Rowe Price | PairCorr |
0.99 | VSTCX | Vanguard Strategic | PairCorr |
1.0 | CGJIX | Calvert Large Cap | PairCorr |
1.0 | GEQZX | Equity Index Investor | PairCorr |
0.98 | EITEX | Parametric Tax Managed | PairCorr |
0.76 | CSIBX | Calvert Bond Portfolio | PairCorr |
1.0 | NWMAX | Nationwide Destination | PairCorr |
0.89 | GLOIX | Gamco Global Opportunity | PairCorr |
0.97 | MMIUX | Massmutual Select | PairCorr |
0.98 | VEMIX | Vanguard Emerging Markets | PairCorr |
Related Correlations Analysis
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Risk-Adjusted Indicators
There is a big difference between Stock Mutual Fund performing well and Stock Index 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 Stock Index'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 | ||
---|---|---|---|---|---|---|---|---|---|---|
OWCAX | 0.08 | 0.02 | (1.45) | 0.74 | 0.00 | 0.21 | 0.53 | |||
AXBIX | 0.11 | 0.01 | (1.22) | 0.40 | 0.00 | 0.29 | 0.86 | |||
AAEZX | 0.21 | 0.02 | (0.36) | 0.30 | 0.00 | 0.50 | 1.83 | |||
ABNTX | 0.13 | 0.01 | (0.70) | 0.40 | 0.00 | 0.29 | 1.08 | |||
CFNLX | 0.11 | 0.01 | (1.20) | 0.62 | 0.00 | 0.28 | 0.82 | |||
ANBIX | 0.13 | 0.02 | (0.68) | 0.70 | 0.04 | 0.29 | 0.97 | |||
PRVBX | 0.09 | 0.02 | (1.18) | 14.11 | 0.00 | 0.20 | 0.63 | |||
MBSAX | 0.24 | 0.03 | (0.40) | 0.32 | 0.00 | 0.52 | 1.62 |