Investment Managers Correlations

EPGIX Fund

USD 11.68 0.14 1.18%

The current 90-days correlation between Investment Managers and Fidelity Advisor Financial is 0.21 (i.e., Modest diversification). The correlation of Investment Managers 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.

Investment Managers Correlation With Market

Average diversification

The correlation between Investment Managers Series and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Investment Managers Series 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 Investment Managers Series. 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 gross domestic product.

Moving together with Investment Mutual Fund

0.75	EPASX	Ep Emerging Markets	Pair Corr
0.9	EPBIX	Europac International	Pair Corr
0.64	EPDIX	Europac International	Pair Corr
0.77	EPEIX	Ep Emerging Markets	Pair Corr
0.63	EPDPX	Europac International	Pair Corr
0.68	EPGFX	Europac Gold	Pair Corr
0.69	EPIBX	Europac International	Pair Corr
0.66	EPIVX	Europac International	Pair Corr
0.66	EPVIX	Europac International	Pair Corr
0.65	SGGDX	First Eagle Gold	Pair Corr
0.99	FEGIX	First Eagle Gold	Pair Corr
0.66	FEGOX	First Eagle Gold	Pair Corr
0.64	OPGSX	Oppenheimer Gold Spec	Pair Corr
0.64	OGMCX	Oppenheimer Gold Special	Pair Corr
0.65	FSAGX	Gold Portfolio Gold	Pair Corr
0.99	FIJDX	Gold Portfolio Fidelity	Pair Corr
0.69	EBSFX	Eubel Brady Suttman	Pair Corr
0.65	FGDIX	Fidelity Advisor Gold	Pair Corr
0.68	ALVGX	Large Pany Value	Pair Corr
0.67	VWICX	Vanguard International	Pair Corr
0.79	PUCAX	Prudential Unconstrained	Pair Corr

Moving against Investment Mutual Fund

0.36	RGNCX	Victory Global Natural	Pair Corr
0.35	RSNRX	Victory Global Natural	Pair Corr
0.34	RSNYX	Victory Global Natural	Pair Corr
0.33	SMPIX	Semiconductor Ultrasector	Pair Corr

Related Correlations Analysis

	FIKBX	JHMXX	FIDAX	FAFSX	VMRXX	HUCXX	QCMMIX
FIKBX		0.0	0.96	1.0	-0.01	0.0	-0.14	FIKBX
JHMXX	0.0		0.0	0.0	0.0	0.0	0.0	JHMXX
FIDAX	0.96	0.0		0.96	-0.08	0.0	-0.24	FIDAX
FAFSX	1.0	0.0	0.96		-0.03	0.0	-0.16	FAFSX
VMRXX	-0.01	0.0	-0.08	-0.03		0.0	0.86	VMRXX
HUCXX	0.0	0.0	0.0	0.0	0.0		0.0	HUCXX
QCMMIX	-0.14	0.0	-0.24	-0.16	0.86	0.0		QCMMIX
	FIKBX	JHMXX	FIDAX	FAFSX	VMRXX	HUCXX	QCMMIX

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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

FAFSX	+ 1.0	FIKBX
FIDAX	+ 0.96	FIKBX
FAFSX	+ 0.96	FIDAX
QCMMIX	+ 0.86	VMRXX
JHMXX	+ 0.0	FIKBX
HUCXX	+ 0.0	FIKBX

High negative correlations

QCMMIX	- 0.24	FIDAX
QCMMIX	- 0.16	FAFSX
QCMMIX	- 0.14	FIKBX
VMRXX	- 0.08	FIDAX
VMRXX	- 0.03	FAFSX
VMRXX	- 0.01	FIKBX

Risk-Adjusted Indicators

There is a big difference between Investment Mutual Fund performing well and Investment Managers 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 Investment Managers' 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
FIKBX	0.84	0.00	0.00	0.00	1.32	(0.78)	1.73	(1.95)	6.29
JHMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FIDAX	0.94	(0.08)	0.00	(0.07)	0.00	0.00	2.02	(2.86)	7.13
FAFSX	0.85	(0.01)	(0.01)	(0.01)	1.33	(0.78)	1.71	(2.10)	6.26
VMRXX	0.03	0.01	0.00	(0.86)	0.00	0.00	0.00	0.00	1.01
HUCXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
QCMMIX	0.02	0.01	0.00	(6.00)	0.00	0.00	0.03	0.00	0.03

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