Massmutual Select Correlations

MEFZX Fund

USD 18.03 0.01 0.06%

The current 90-days correlation between Massmutual Select Mid and Massmutual Select Total is 0.13 (i.e., Average diversification). The correlation of Massmutual Select 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.

Massmutual Select Correlation With Market

Poor diversification

The correlation between Massmutual Select Mid and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Mid 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 Massmutual Select Mid. 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 nation.

Moving together with Massmutual Mutual Fund

0.71	MMBRX	Massmutual Premier	Pair Corr
0.76	MMBUX	Massmutual Select	Pair Corr
0.71	MMBDX	Massmutual Premier	Pair Corr
0.7	MMBLX	Massmutual Premier	Pair Corr
1.0	MMELX	Massmutual Select Mid	Pair Corr
0.99	MMGEX	Massmutual Select Small	Pair Corr
0.94	MMFFX	Mm Sp 500	Pair Corr

Moving against Massmutual Mutual Fund

0.65	MMCBX	Massmutual Premier	Pair Corr
0.62	MMBEX	Massmutual Select	Pair Corr
0.6	MMIAX	Massmutual Premier	Pair Corr

Related Correlations Analysis

	MSPZX	MSPHX	MSPGX	MSPLX	MSPNX	MSPSX	MBBRX	MBCGX	MBCLX
MSPZX		1.0	1.0	1.0	1.0	1.0	-0.08	-0.64	-0.64	MSPZX
MSPHX	1.0		1.0	1.0	1.0	1.0	-0.07	-0.64	-0.64	MSPHX
MSPGX	1.0	1.0		1.0	1.0	0.99	-0.08	-0.64	-0.64	MSPGX
MSPLX	1.0	1.0	1.0		1.0	0.99	-0.06	-0.63	-0.63	MSPLX
MSPNX	1.0	1.0	1.0	1.0		1.0	-0.07	-0.64	-0.64	MSPNX
MSPSX	1.0	1.0	0.99	0.99	1.0		-0.08	-0.64	-0.64	MSPSX
MBBRX	-0.08	-0.07	-0.08	-0.06	-0.07	-0.08		0.78	0.78	MBBRX
MBCGX	-0.64	-0.64	-0.64	-0.63	-0.64	-0.64	0.78		1.0	MBCGX
MBCLX	-0.64	-0.64	-0.64	-0.63	-0.64	-0.64	0.78	1.0		MBCLX
	MSPZX	MSPHX	MSPGX	MSPLX	MSPNX	MSPSX	MBBRX	MBCGX	MBCLX

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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

MSPHX	+ 1.0	MSPZX
MSPGX	+ 1.0	MSPZX
MSPLX	+ 1.0	MSPZX
MSPNX	+ 1.0	MSPZX
MSPSX	+ 1.0	MSPZX
MSPGX	+ 1.0	MSPHX

High negative correlations

MBCLX	- 0.64	MSPSX
MBCGX	- 0.64	MSPSX
MBCLX	- 0.64	MSPNX
MBCGX	- 0.64	MSPNX
MBCLX	- 0.64	MSPGX
MBCGX	- 0.64	MSPGX

Risk-Adjusted Indicators

There is a big difference between Massmutual Mutual Fund performing well and Massmutual Select 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 Massmutual Select'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
MSPZX	0.26	0.03	0.25	0.42	0.25	(0.30)	0.61	(0.48)	1.60
MSPHX	0.28	0.03	0.24	0.61	0.26	(0.35)	0.61	(0.49)	1.59
MSPGX	0.26	0.02	0.26	0.38	0.24	(0.31)	0.61	(0.48)	1.46
MSPLX	0.28	0.02	0.23	0.41	0.27	(0.32)	0.61	(0.49)	1.60
MSPNX	0.27	0.02	0.23	0.54	0.26	(0.34)	0.61	(0.49)	1.47
MSPSX	0.27	0.03	0.26	0.46	0.24	(0.32)	0.61	(0.48)	1.60
MBBRX	0.49	(0.02)	0.00	(0.10)	0.00	0.00	0.88	(0.98)	2.38
MBCGX	1.11	(0.09)	0.00	(0.16)	0.00	0.00	1.71	(2.69)	6.53
MBCLX	1.11	(0.09)	0.00	(0.16)	0.00	0.00	1.74	(2.67)	6.55

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