Global Real Correlations

ARYGX Fund

USD 13.98 0.04 0.29%

The current 90-days correlation between Global Real Estate and Mid Cap Value is 0.73 (i.e., Poor diversification). The correlation of Global Real 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.

Global Real Correlation With Market

Poor diversification

The correlation between Global Real Estate and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global Real Estate and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Global Real Estate. 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 price.

Moving together with Global Mutual Fund

0.91	AMDVX	Mid Cap Value	Pair Corr
0.86	AMGIX	Income Growth	Pair Corr
0.9	CDBCX	Diversified Bond	Pair Corr
0.9	TWACX	Short Term Government	Pair Corr
0.88	TWADX	Value Fund A	Pair Corr
0.91	TWARX	Short Term Government	Pair Corr
0.91	TWAVX	Short Term Government	Pair Corr
0.91	AMVYX	Mid Cap Value	Pair Corr
0.91	AMVRX	Mid Cap Value	Pair Corr
0.78	TWBIX	Balanced Fund Investor	Pair Corr
0.91	AMVGX	Mid Cap Value	Pair Corr
0.95	TWEAX	Equity Income	Pair Corr
0.95	TWEIX	Equity Income	Pair Corr
0.69	TWGAX	International Growth	Pair Corr
0.7	TWGGX	Global Growth	Pair Corr
0.7	TWIEX	International Growth	Pair Corr
0.67	TWHIX	Heritage Fund Investor	Pair Corr
0.87	TWTCX	Intermediate Term Tax	Pair Corr
0.88	TWTIX	Intermediate Term Tax	Pair Corr
0.95	TWSCX	Strategic Allocation:	Pair Corr
0.85	TWSAX	Strategic Allocation:	Pair Corr
0.89	TWSMX	Strategic Allocation:	Pair Corr
0.91	TWUSX	Short Term Government	Pair Corr
0.88	TWVLX	Value Fund Investor	Pair Corr
0.9	TWUOX	Short Term Government	Pair Corr
0.87	TWWOX	Intermediate Term Tax	Pair Corr
0.97	NPHIX	High Income Fund	Pair Corr

Related Correlations Analysis

	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX
AMDVX		0.41	0.9	0.83	0.37	0.83	0.98	-0.1	-0.02	-0.02	AMDVX
AMEIX	0.41		0.76	0.23	0.91	0.21	0.54	0.86	0.9	0.9	AMEIX
AMGIX	0.9	0.76		0.64	0.69	0.64	0.96	0.33	0.4	0.4	AMGIX
CDBCX	0.83	0.23	0.64		0.24	0.99	0.72	-0.22	-0.16	-0.15	CDBCX
AMKIX	0.37	0.91	0.69	0.24		0.26	0.49	0.77	0.81	0.81	AMKIX
TWACX	0.83	0.21	0.64	0.99	0.26		0.72	-0.25	-0.19	-0.18	TWACX
TWADX	0.98	0.54	0.96	0.72	0.49	0.72		0.06	0.13	0.14	TWADX
TWCCX	-0.1	0.86	0.33	-0.22	0.77	-0.25	0.06		0.99	0.99	TWCCX
TWCAX	-0.02	0.9	0.4	-0.16	0.81	-0.19	0.13	0.99		1.0	TWCAX
TWCIX	-0.02	0.9	0.4	-0.15	0.81	-0.18	0.14	0.99	1.0		TWCIX
	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX

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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

TWCIX	+ 1.0	TWCAX
TWACX	+ 0.99	CDBCX
TWCAX	+ 0.99	TWCCX
TWCIX	+ 0.99	TWCCX
TWADX	+ 0.98	AMDVX
TWADX	+ 0.96	AMGIX

High negative correlations

TWCCX	- 0.25	TWACX
TWCCX	- 0.22	CDBCX
TWCAX	- 0.19	TWACX
TWCIX	- 0.18	TWACX
TWCAX	- 0.16	CDBCX
TWCIX	- 0.15	CDBCX

Risk-Adjusted Indicators

There is a big difference between Global Mutual Fund performing well and Global Real 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 Global Real'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
AMDVX	0.57	0.05	0.04	0.18	0.50	(0.64)	1.38	(0.74)	4.38
AMEIX	0.79	(0.07)	(0.05)	0.04	1.11	(0.78)	1.76	(2.18)	4.68
AMGIX	0.67	0.00	0.00	0.11	0.74	(0.71)	1.46	(1.40)	3.99
CDBCX	0.25	0.05	(0.19)	(4.45)	0.14	(0.31)	0.55	(0.43)	1.73
AMKIX	0.86	0.00	(0.01)	0.11	1.10	(0.85)	2.08	(2.04)	4.90
TWACX	0.10	0.02	(0.47)	(0.83)	0.00	(0.16)	0.22	(0.11)	0.79
TWADX	0.57	0.02	0.00	0.13	0.60	(0.67)	1.20	(0.85)	3.90
TWCCX	1.05	(0.15)	0.00	(0.02)	0.00	0.00	2.26	(2.95)	6.52
TWCAX	0.98	(0.13)	(0.06)	0.00	1.66	(0.82)	2.33	(2.51)	6.17
TWCIX	0.98	(0.13)	(0.06)	0.00	1.66	(0.82)	2.33	(2.51)	6.16

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