Fuller Thaler Correlations
| FTXCX Fund | USD 47.87 0.42 0.89% |
The current 90-days correlation between Fuller Thaler Behavioral and Fuller Thaler Behavioral is 0.69 (i.e., Poor diversification). The correlation of Fuller Thaler 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.
Fuller Thaler Correlation With Market
Weak diversification
The correlation between Fuller Thaler Behavioral and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral and DJI in the same portfolio, assuming nothing else is changed.
Fuller |
Moving together with Fuller Mutual Fund
| 1.0 | FTXAX | Fuller Thaler Behavioral | PairCorr |
| 0.83 | FTZFX | Fuller Thaler Behavioral | PairCorr |
| 0.95 | VSGAX | Vanguard Small Cap | PairCorr |
| 0.85 | VSGIX | Vanguard Small Cap | PairCorr |
| 0.95 | VISGX | Vanguard Small Cap | PairCorr |
| 0.83 | LETRX | Voya Russia Fund | PairCorr |
| 0.83 | IWRFX | Voya Russia Fund | PairCorr |
| 0.81 | IIRFX | Voya Russia Fund | PairCorr |
| 0.95 | CISGX | Touchstone Sands Capital | PairCorr |
| 0.64 | TTP | Tortoise Pipeline And | PairCorr |
| 0.87 | MWCBX | Metropolitan West Porate | PairCorr |
| 0.75 | PYFRX | Payden Floating Rate | PairCorr |
| 0.86 | FDHIX | First Trust Short | PairCorr |
| 0.93 | MEGIX | Msvif Growth Port | PairCorr |
| 0.74 | URUSX | Ultra Short Term | PairCorr |
| 0.79 | JMIGX | Jacob Micro Cap | PairCorr |
| 0.69 | PAIAX | Pimco Short Asset | PairCorr |
Moving against Fuller Mutual Fund
Related Correlations Analysis
| 1.0 | 0.0 | 0.01 | 0.45 | 1.0 | FTHAX | ||
| 1.0 | 0.01 | 0.02 | 0.46 | 1.0 | FTHFX | ||
| 0.0 | 0.01 | 1.0 | 0.83 | -0.01 | FTXAX | ||
| 0.01 | 0.02 | 1.0 | 0.83 | -0.01 | FTXCX | ||
| 0.45 | 0.46 | 0.83 | 0.83 | 0.44 | FTZFX | ||
| 1.0 | 1.0 | -0.01 | -0.01 | 0.44 | FTYCX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Fuller Mutual Fund performing well and Fuller Thaler 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 Fuller Thaler'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FTHAX | 0.86 | (0.09) | 0.00 | (0.15) | 0.00 | 1.65 | 12.55 | |||
| FTHFX | 0.85 | (0.09) | 0.00 | (0.14) | 0.00 | 1.64 | 12.42 | |||
| FTXAX | 1.05 | 0.14 | 0.10 | 0.27 | 1.22 | 1.94 | 7.98 | |||
| FTXCX | 1.05 | 0.14 | 0.10 | 0.27 | 1.22 | 1.96 | 7.97 | |||
| FTZFX | 0.73 | 0.04 | 0.03 | 0.12 | 0.82 | 1.46 | 6.71 | |||
| FTYCX | 0.86 | (0.10) | 0.00 | (0.16) | 0.00 | 1.63 | 12.68 |