Litman Gregory Correlations

MASFX Fund

USD 10.83 0.01 0.09%

The current 90-days correlation between Litman Gregory Masters and Pimco Short Asset is -0.03 (i.e., Good diversification). The correlation of Litman Gregory 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.

Litman Gregory Correlation With Market

Weak diversification

The correlation between Litman Gregory Masters and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Litman Gregory Masters 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 Litman Gregory Masters. 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 Litman Mutual Fund

0.76	MASNX	Litman Gregory Masters	Pair Corr
0.7	MSEFX	Litman Gregory Masters	Pair Corr
0.71	GARTX	Goldman Sachs Absolute	Pair Corr
0.81	GCRTX	Goldman Sachs Absolute	Pair Corr
0.67	WRHIX	Ivy High Income	Pair Corr
0.63	WHIAX	Ivy High Income	Pair Corr
0.65	IVHIX	Ivy High Income	Pair Corr
0.66	TAIAX	American Funds Tax	Pair Corr

Moving against Litman Mutual Fund

0.59

POIVX

Imgp Oldfield Intern

Pair Corr

Related Correlations Analysis

	PAIDX	DBLSX	PSCIX	PSHIX	PFIUX
PAIDX		0.0	0.92	-0.35	0.82	PAIDX
DBLSX	0.0		0.21	0.77	0.38	DBLSX
PSCIX	0.92	0.21		-0.28	0.9	PSCIX
PSHIX	-0.35	0.77	-0.28		0.02	PSHIX
PFIUX	0.82	0.38	0.9	0.02		PFIUX
	PAIDX	DBLSX	PSCIX	PSHIX	PFIUX

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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

PSCIX	+ 0.92	PAIDX
PFIUX	+ 0.9	PSCIX
PFIUX	+ 0.82	PAIDX
PSHIX	+ 0.77	DBLSX
PFIUX	+ 0.38	DBLSX
PSCIX	+ 0.21	DBLSX

High negative correlations

PSHIX	- 0.35	PAIDX
PSHIX	- 0.28	PSCIX
DBLSX	- 0.0	PAIDX

Risk-Adjusted Indicators

There is a big difference between Litman Mutual Fund performing well and Litman Gregory 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 Litman Gregory'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PAIDX	0.05	0.01	0.00	(0.43)	0.00	0.10	0.00	0.71
DBLSX	0.06	0.00	(0.68)	(0.13)	(0.10)	0.10	(0.10)	0.42
PSCIX	0.07	0.03	0.00	2.39	0.00	0.10	(0.10)	0.31
PSHIX	0.08	0.00	(0.76)	(2.10)	(0.12)	0.17	(0.08)	0.75
PFIUX	0.10	0.02	(0.54)	2.12	(0.18)	0.30	(0.10)	0.81

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