Real Assets Correlations

MRJCX Fund

USD 10.24 0.03 0.29%

The current 90-days correlation between Real Assets Portfolio and International Equity Portfolio is 0.23 (i.e., Modest diversification). The correlation of Real Assets 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.

Real Assets Correlation With Market

Modest diversification

The correlation between Real Assets Portfolio and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Real Assets Portfolio 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 Real Assets Portfolio. 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 main economic indicators.

Moving together with Real Mutual Fund

0.8	TEMUX	Emerging Markets Equity	Pair Corr
0.79	DINDX	Global Fixed Income	Pair Corr
0.82	DINCX	Global Fixed Income	Pair Corr
0.78	DINAX	Global Fixed Income	Pair Corr
0.81	MLMAX	Global E Portfolio	Pair Corr
0.8	MLMCX	Global E Portfolio	Pair Corr
0.83	MLNSX	Global Centrated Por	Pair Corr
0.81	MLMIX	Global E Portfolio	Pair Corr
0.81	MLMSX	Global E Portfolio	Pair Corr
0.81	MLNCX	Global Centrated Por	Pair Corr
0.82	MLNAX	Global Centrated Por	Pair Corr
0.83	MLNIX	Global Centrated Por	Pair Corr
0.68	MMCGX	Mid Cap Growth	Pair Corr
0.88	MNOPX	International Opportunity	Pair Corr
0.76	THYUX	High Yield Fund	Pair Corr
0.91	TIEUX	International Equity	Pair Corr
0.65	TIIUX	Core Fixed Income	Pair Corr
0.89	TILUX	Inflation Linked Fixed	Pair Corr
0.77	MORGX	Morgan Stanley Mortgage	Pair Corr
0.68	MPAIX	Advantage Portfolio Class	Pair Corr
0.73	MPBAX	Global Strategist	Pair Corr
0.68	MPEGX	Mid Cap Growth	Pair Corr
1.0	MRJAX	Real Assets Portfolio	Pair Corr
1.0	MRJIX	Real Assets Portfolio	Pair Corr
0.87	MRHYX	Msift High Yield	Pair Corr
0.97	MRJSX	Real Assets Portfolio	Pair Corr
0.88	MRNPX	Msif International	Pair Corr
0.68	MADSX	Msif Advantage Port	Pair Corr
0.68	MACGX	Mid Cap Growth	Pair Corr

Related Correlations Analysis

	MSQLX	TMUUX	MSPTX	MSPRX	MSSMX	MSSLX	MSSOX	MBAAX	MSRFX
MSQLX		0.7	-0.03	-0.25	-0.11	-0.1	0.7	0.67	0.01	MSQLX
TMUUX	0.7		0.38	0.22	0.25	0.25	0.87	0.86	0.24	TMUUX
MSPTX	-0.03	0.38		0.93	0.84	0.84	0.54	0.57	0.26	MSPTX
MSPRX	-0.25	0.22	0.93		0.76	0.76	0.38	0.42	0.32	MSPRX
MSSMX	-0.11	0.25	0.84	0.76		1.0	0.31	0.33	0.52	MSSMX
MSSLX	-0.1	0.25	0.84	0.76	1.0		0.31	0.33	0.52	MSSLX
MSSOX	0.7	0.87	0.54	0.38	0.31	0.31		1.0	0.1	MSSOX
MBAAX	0.67	0.86	0.57	0.42	0.33	0.33	1.0		0.1	MBAAX
MSRFX	0.01	0.24	0.26	0.32	0.52	0.52	0.1	0.1		MSRFX
	MSQLX	TMUUX	MSPTX	MSPRX	MSSMX	MSSLX	MSSOX	MBAAX	MSRFX

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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

MSSLX	+ 1.0	MSSMX
MBAAX	+ 1.0	MSSOX
MSPRX	+ 0.93	MSPTX
MSSOX	+ 0.87	TMUUX
MBAAX	+ 0.86	TMUUX
MSSMX	+ 0.84	MSPTX

High negative correlations

MSPRX	- 0.25	MSQLX
MSSMX	- 0.11	MSQLX
MSSLX	- 0.1	MSQLX
MSPTX	- 0.03	MSQLX

Risk-Adjusted Indicators

There is a big difference between Real Mutual Fund performing well and Real Assets 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 Real Assets' 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
MSQLX	1.05	(0.29)	0.00	(0.34)	0.00	0.00	1.34	(1.07)	27.34
TMUUX	0.15	0.01	0.00	0.12	0.17	(0.20)	0.35	(0.35)	1.05
MSPTX	1.47	0.08	0.04	0.12	1.85	(1.52)	3.17	(2.93)	9.82
MSPRX	1.14	0.11	0.07	0.21	1.46	(1.23)	2.42	(2.52)	7.85
MSSMX	1.63	0.11	0.06	0.12	1.88	(1.92)	3.77	(2.83)	10.78
MSSLX	1.63	0.11	0.06	0.12	1.85	(1.92)	3.63	(2.81)	10.80
MSSOX	0.38	0.00	0.00	0.01	0.57	(0.36)	0.82	(0.70)	2.63
MBAAX	0.37	0.01	0.00	0.02	0.56	(0.35)	0.79	(0.67)	2.58
MSRFX	0.40	0.00	(0.01)	(0.02)	0.54	(0.43)	1.12	(0.75)	3.25

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