Lifex Income Correlations

LFEMX Fund

18.97 0.08 0.42%

The current 90-days correlation between Lifex Income and Stone Ridge High is 0.06 (i.e., Significant diversification). The correlation of Lifex Income 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.

Lifex Income Correlation With Market

Average diversification

The correlation between Lifex Income and DJI is 0.11 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lifex Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lifex Income. 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 population.

Moving together with Lifex Mutual Fund

0.96	LMSMX	Western Asset Smash	Pair Corr
0.87	LMECX	Western Asset Smash	Pair Corr
0.79	FXIMX	Fixed Income Shares	Pair Corr
0.95	FXICX	Fixed Income Shares	Pair Corr
0.95	LMLCX	Western Asset Smash	Pair Corr
0.95	BRAMX	Bats Series M	Pair Corr
0.83	PFHCX	Pacific Funds Small	Pair Corr

Moving against Lifex Mutual Fund

0.79	LIADX	Lifex Inflation Prot	Pair Corr
0.79	LIAFX	Lifex Inflation Prot	Pair Corr
0.78	LIAKX	Lifex Inflation Prot	Pair Corr
0.78	LIAIX	Lifex Inflation Prot	Pair Corr
0.78	LIAMX	Lifex Inflation Prot	Pair Corr
0.78	LIAQX	Lifex Inflation Prot	Pair Corr
0.78	LIAWX	Lifex Inflation Prot	Pair Corr
0.78	LIAUX	Lifex Inflation Prot	Pair Corr
0.78	LIBGX	Lifex Inflation Prot	Pair Corr
0.78	LIIFX	Lifex Inflation Prot	Pair Corr
0.73	LFADX	Lifex Income	Pair Corr
0.71	LFAQX	Lifex Income	Pair Corr
0.71	LFAUX	Lifex Income	Pair Corr
0.71	LFAWX	Lifex Income	Pair Corr
0.7	LFBGX	Lifex Income	Pair Corr
0.7	LFBJX	Lifex Income	Pair Corr
0.7	LFFWX	Lifex Income	Pair Corr
0.4	LIAZX	Lifex Inflation Prot	Pair Corr
0.38	LIAOX	Lifex Inflation Prot	Pair Corr
0.34	SHRIX	Stone Ridge High	Pair Corr
0.34	SHRMX	Stone Ridge High	Pair Corr
0.85	CUBA	Herzfeld Caribbean Basin	Pair Corr
0.81	BDJ	Blackrock Enhanced Equity	Pair Corr
0.7	LFEWX	Lifex Income	Pair Corr
0.64	FDTRX	Franklin Dynatech	Pair Corr
0.63	AIVSX	Investment Of America	Pair Corr
0.57	JEPIX	Jpmorgan Equity Premium	Pair Corr
0.56	SRDAX	Stone Ridge Diversified	Pair Corr
0.55	DFSVX	Us Small Cap	Pair Corr
0.54	SRDBX	Stone Ridge Diversified	Pair Corr
0.4	BATAX	Blackrock Allocation	Pair Corr

Related Correlations Analysis

	SHRIX	SHRMX	DFMAX	FGRIX	VTSAX	MLUFX	VEXRX	FTRNX	FSEAX	RNGHX
SHRIX		1.0	0.63	0.59	0.64	0.68	0.66	0.64	0.0	0.48	SHRIX
SHRMX	1.0		0.63	0.59	0.64	0.68	0.66	0.65	0.0	0.48	SHRMX
DFMAX	0.63	0.63		0.94	0.99	0.94	0.97	0.94	0.37	0.86	DFMAX
FGRIX	0.59	0.59	0.94		0.96	0.9	0.93	0.91	0.4	0.83	FGRIX
VTSAX	0.64	0.64	0.99	0.96		0.92	0.96	0.96	0.42	0.89	VTSAX
MLUFX	0.68	0.68	0.94	0.9	0.92		0.94	0.9	0.3	0.8	MLUFX
VEXRX	0.66	0.66	0.97	0.93	0.96	0.94		0.88	0.27	0.79	VEXRX
FTRNX	0.64	0.65	0.94	0.91	0.96	0.9	0.88		0.47	0.92	FTRNX
FSEAX	0.0	0.0	0.37	0.4	0.42	0.3	0.27	0.47		0.57	FSEAX
RNGHX	0.48	0.48	0.86	0.83	0.89	0.8	0.79	0.92	0.57		RNGHX
	SHRIX	SHRMX	DFMAX	FGRIX	VTSAX	MLUFX	VEXRX	FTRNX	FSEAX	RNGHX

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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

SHRMX	+ 1.0	SHRIX
VTSAX	+ 0.99	DFMAX
VEXRX	+ 0.97	DFMAX
VTSAX	+ 0.96	FGRIX
VEXRX	+ 0.96	VTSAX
FTRNX	+ 0.96	VTSAX

High negative correlations

FSEAX	- 0.0	SHRMX
FSEAX	- 0.0	SHRIX

Risk-Adjusted Indicators

There is a big difference between Lifex Mutual Fund performing well and Lifex Income 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 Lifex Income'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
SHRIX	0.28	0.05	(0.02)	(2.15)	0.78	(0.31)	0.54	(0.22)	3.57
SHRMX	0.28	0.05	(0.02)	(3.45)	0.78	(0.31)	0.54	(0.11)	3.57
DFMAX	0.52	0.03	0.01	0.13	0.52	(0.57)	0.97	(1.09)	3.81
FGRIX	0.46	(0.02)	(0.08)	0.05	0.61	(0.48)	1.06	(0.73)	3.53
VTSAX	0.50	0.05	0.06	0.16	0.44	(0.56)	0.98	(0.94)	4.11
MLUFX	0.51	0.07	(0.01)	0.59	0.36	(0.64)	1.10	(0.78)	3.18
VEXRX	0.70	0.01	0.03	0.10	0.70	(0.75)	1.60	(1.27)	5.78
FTRNX	0.84	0.26	0.16	1.66	0.87	(0.95)	2.14	(1.55)	6.40
FSEAX	0.91	0.23	0.12	(1.91)	0.85	(1.03)	2.28	(1.38)	7.10
RNGHX	0.61	0.12	0.04	1.08	0.68	(0.66)	1.40	(1.15)	4.01

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