Green Century Correlations

GCEQX Fund

USD 85.24 0.04 0.05%

The current 90-days correlation between Green Century Equity and Green Century Balanced is 0.73 (i.e., Poor diversification). The correlation of Green Century 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.

Green Century Correlation With Market

Poor diversification

The correlation between Green Century Equity 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 Green Century Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Green Century Equity. 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 producer price index.

Moving together with Green Mutual Fund

1.0	GCEUX	Green Century Equity	Pair Corr
0.78	GCBLX	Green Century Balanced	Pair Corr
0.91	VTSAX	Vanguard Total Stock	Pair Corr
0.9	VFIAX	Vanguard 500 Index	Pair Corr
0.91	VTSMX	Vanguard Total Stock	Pair Corr
0.91	VITSX	Vanguard Total Stock	Pair Corr
0.91	VSMPX	Vanguard Total Stock	Pair Corr
0.91	VSTSX	Vanguard Total Stock	Pair Corr
0.9	VFINX	Vanguard 500 Index	Pair Corr
0.9	VFFSX	Vanguard 500 Index	Pair Corr
0.93	VINIX	Vanguard Institutional	Pair Corr
0.93	VIIIX	Vanguard Institutional	Pair Corr

Moving against Green Mutual Fund

0.61	PFN	Pimco Income Strategy	Pair Corr
0.37	GCINX	Green Century Msci	Pair Corr
0.71	JEEIX	John Hancock Enduring	Pair Corr
0.68	PDI	Pimco Dynamic Income	Pair Corr
0.67	FBAHX	Fidelity Advisor Tactical	Pair Corr
0.63	VFFIX	Victory Incore	Pair Corr
0.53	TRLDX	T Rowe Price	Pair Corr
0.48	LSIZX	Columbia Strategic Income	Pair Corr
0.44	PCF	Putnam High Income	Pair Corr
0.42	SDFAX	Swan Defined Risk	Pair Corr
0.42	MNOZX	Manning Napier Overseas	Pair Corr
0.37	XPPRX	Voya Prime Rate	Pair Corr
0.95	RYUHX	Inverse Sp 500	Pair Corr
0.75	FIKPX	Fidelity Government	Pair Corr

Related Correlations Analysis

	GCBLX	PORTX	NALFX	PXWGX	DSEFX
GCBLX		0.42	-0.33	0.83	0.78	GCBLX
PORTX	0.42		-0.3	0.46	0.74	PORTX
NALFX	-0.33	-0.3		-0.31	-0.56	NALFX
PXWGX	0.83	0.46	-0.31		0.81	PXWGX
DSEFX	0.78	0.74	-0.56	0.81		DSEFX
	GCBLX	PORTX	NALFX	PXWGX	DSEFX

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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

PXWGX	+ 0.83	GCBLX
DSEFX	+ 0.81	PXWGX
DSEFX	+ 0.78	GCBLX
DSEFX	+ 0.74	PORTX
PXWGX	+ 0.46	PORTX
PORTX	+ 0.42	GCBLX

High negative correlations

DSEFX	- 0.56	NALFX
NALFX	- 0.33	GCBLX
PXWGX	- 0.31	NALFX
NALFX	- 0.3	PORTX

Risk-Adjusted Indicators

There is a big difference between Green Mutual Fund performing well and Green Century 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 Green Century'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
GCBLX	0.61	(0.13)	0.00	(0.26)	0.00	0.00	0.75	(1.23)	7.28
PORTX	0.69	(0.02)	0.00	(0.09)	0.00	0.00	1.35	(1.52)	3.99
NALFX	0.79	0.08	0.11	0.11	1.01	(0.78)	1.54	(1.79)	3.99
PXWGX	0.96	(0.26)	0.00	(0.39)	0.00	0.00	1.10	(1.88)	11.23
DSEFX	0.93	(0.14)	0.00	(0.24)	0.00	0.00	1.31	(1.83)	8.60

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