Elfun Diversified Correlations

ELDFX Fund

USD 20.58 0.04 0.19%

The current 90-days correlation between Elfun Diversified and Morningstar Global Income is 0.67 (i.e., Poor diversification). The correlation of Elfun Diversified 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.

Elfun Diversified Correlation With Market

Very weak diversification

The correlation between Elfun Diversified Fund and DJI is 0.57 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Elfun Diversified Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Elfun Diversified 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 census.

Moving together with Elfun Mutual Fund

0.67

Dupont De Nemours

Pair Corr

Moving against Elfun Mutual Fund

0.33

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	MSTGX	ANAZX	BCGDX	MGKAX	MFIRX	BXFIX	QGMIX
MSTGX		0.87	0.83	0.63	0.96	0.71	0.88	MSTGX
ANAZX	0.87		0.68	0.53	0.92	0.67	0.73	ANAZX
BCGDX	0.83	0.68		0.81	0.73	0.6	0.52	BCGDX
MGKAX	0.63	0.53	0.81		0.53	0.57	0.32	MGKAX
MFIRX	0.96	0.92	0.73	0.53		0.75	0.89	MFIRX
BXFIX	0.71	0.67	0.6	0.57	0.75		0.59	BXFIX
QGMIX	0.88	0.73	0.52	0.32	0.89	0.59		QGMIX
	MSTGX	ANAZX	BCGDX	MGKAX	MFIRX	BXFIX	QGMIX

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Risk-Adjusted Indicators

There is a big difference between Elfun Mutual Fund performing well and Elfun Diversified 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 Elfun Diversified'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
MSTGX	0.31	0.07	0.23	0.14	0.34	(0.34)	0.74	(0.62)	1.58
ANAZX	0.18	0.00	0.23	(0.02)	0.18	(0.29)	0.44	(0.44)	1.32
BCGDX	0.64	0.05	0.08	0.02	0.93	(0.66)	1.28	(1.27)	3.69
MGKAX	1.04	(0.14)	0.00	(0.24)	0.00	0.00	1.57	(2.37)	14.60
MFIRX	0.11	0.02	0.29	0.92	0.00	(0.21)	0.19	(0.19)	0.77
BXFIX	0.08	(0.01)	0.42	(0.32)	0.06	(0.28)	0.23	(0.12)	0.93
QGMIX	0.37	0.10	0.39	(0.73)	0.17	(0.45)	0.83	(0.63)	2.42

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