BGF Global Correlations

MI9D Fund

EUR 75.53 0.50 0.66%

The current 90-days correlation between BGF Global Allocation and Groupama Entreprises N is -0.15 (i.e., Good diversification). The correlation of BGF Global 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.

BGF Global Correlation With Market

Average diversification

The correlation between BGF Global Allocation and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding BGF Global Allocation and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to BGF Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BGF Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back BGF Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling BGF Global Allocation to buy it.

Moving together with BGF Fund

0.94	0P00001S8S	Groupama Entreprises	Pair Corr
0.74	E908	Lyxor 1	Pair Corr

Moving against BGF Fund

0.66	DBPD	Xtrackers ShortDAX	Pair Corr
0.55	0P00000PM8	Renaissance Europe	Pair Corr
0.41	0P00008W4A	Pacteo Actions Europe	Pair Corr

Related Correlations Analysis

	0P00001S8S	0P00000PM8	8SP	39O1	INVN	IUI1	INL	VOW	RS6	RRU
0P00001S8S		-0.64	-0.73	-0.59	0.91	0.93	0.02	-0.84	0.74	0.73	0P00001S8S
0P00000PM8	-0.64		0.76	0.64	-0.47	-0.76	-0.58	0.85	-0.75	-0.19	0P00000PM8
8SP	-0.73	0.76		0.66	-0.52	-0.75	-0.39	0.74	-0.62	-0.4	8SP
39O1	-0.59	0.64	0.66		-0.46	-0.57	-0.08	0.54	-0.34	-0.29	39O1
INVN	0.91	-0.47	-0.52	-0.46		0.85	-0.17	-0.7	0.67	0.72	INVN
IUI1	0.93	-0.76	-0.75	-0.57	0.85		0.24	-0.91	0.86	0.65	IUI1
INL	0.02	-0.58	-0.39	-0.08	-0.17	0.24		-0.41	0.49	-0.2	INL
VOW	-0.84	0.85	0.74	0.54	-0.7	-0.91	-0.41		-0.9	-0.48	VOW
RS6	0.74	-0.75	-0.62	-0.34	0.67	0.86	0.49	-0.9		0.44	RS6
RRU	0.73	-0.19	-0.4	-0.29	0.72	0.65	-0.2	-0.48	0.44		RRU
	0P00001S8S	0P00000PM8	8SP	39O1	INVN	IUI1	INL	VOW	RS6	RRU

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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

IUI1	+ 0.93	0P00001S8S
INVN	+ 0.91	0P00001S8S
RS6	+ 0.86	IUI1
VOW	+ 0.85	0P00000PM8
IUI1	+ 0.85	INVN
8SP	+ 0.76	0P00000PM8

High negative correlations

VOW	- 0.91	IUI1
RS6	- 0.9	VOW
VOW	- 0.84	0P00001S8S
IUI1	- 0.76	0P00000PM8
IUI1	- 0.75	8SP
RS6	- 0.75	0P00000PM8

Risk-Adjusted Indicators

There is a big difference between BGF Fund performing well and BGF Global 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 BGF Global'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
0P00001S8S	0.01	0.00	0.00	(1.69)	0.00	0.00	0.04	0.00	0.04
0P00000PM8	0.67	(0.04)	0.00	(0.39)	0.00	0.00	1.10	(1.95)	4.59
8SP	2.13	(0.24)	0.00	(1.51)	0.00	0.00	3.36	(4.50)	20.22
39O1	3.46	(0.10)	0.00	(0.54)	0.00	0.00	8.41	(5.63)	24.06
INVN	2.08	0.30	0.11	(0.82)	2.15	(2.45)	5.45	(3.94)	14.01
IUI1	1.22	0.20	0.13	0.49	1.20	(1.30)	3.28	(2.16)	10.73
INL	2.44	(0.03)	0.00	(0.04)	0.00	0.00	7.04	(5.34)	16.28
VOW	1.27	(0.17)	0.00	0.80	0.00	0.00	2.84	(2.99)	9.42
RS6	1.44	0.07	0.03	0.26	1.54	(1.61)	2.94	(2.93)	15.24
RRU	1.54	0.18	0.09	0.20	1.81	(1.66)	3.10	(3.10)	9.56

Be your own money manager

Our tools can tell you how much better you can do entering a position in BGF Global without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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