Great-west Correlations

MXMGX Fund

USD 34.76 0.06 0.17%

The current 90-days correlation between Great West T and Needham Small Cap is 0.76 (i.e., Poor diversification). The correlation of Great-west 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.

Great-west Correlation With Market

Poor diversification

The correlation between Great West T Rowe and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great West T Rowe 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 Great West T Rowe. 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 price.

Moving together with Great-west Mutual Fund

0.8	SFBPX	Great-west Securefoundation	Pair Corr
0.97	MXBUX	Great West Sp	Pair Corr
0.77	MXCJX	Great West Securefou	Pair Corr
0.94	MXEBX	Great-west Core	Pair Corr
0.98	MXERX	Great West Sp	Pair Corr
0.7	MXEQX	Great West T	Pair Corr
0.92	MXGSX	Great-west Multi-manager	Pair Corr

Moving against Great-west Mutual Fund

0.42	MXECX	Great-west Core	Pair Corr
0.53	MXEGX	Great West E	Pair Corr
0.31	MXEDX	Great-west Core	Pair Corr

Related Correlations Analysis

	NESGX	ARTSX	NSMAX	KSCYX	DFUKX
NESGX		0.85	0.6	0.17	-0.06	NESGX
ARTSX	0.85		0.83	0.41	0.23	ARTSX
NSMAX	0.6	0.83		0.36	0.53	NSMAX
KSCYX	0.17	0.41	0.36		0.02	KSCYX
DFUKX	-0.06	0.23	0.53	0.02		DFUKX
	NESGX	ARTSX	NSMAX	KSCYX	DFUKX

Click cells to compare fundamentals

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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

ARTSX	+ 0.85	NESGX
NSMAX	+ 0.83	ARTSX
NSMAX	+ 0.6	NESGX
DFUKX	+ 0.53	NSMAX
KSCYX	+ 0.41	ARTSX
KSCYX	+ 0.36	NSMAX

High negative correlations

DFUKX

- 0.06

NESGX

Risk-Adjusted Indicators

There is a big difference between Great-west Mutual Fund performing well and Great-west 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 Great-west'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
NESGX	1.41	(0.16)	(0.29)	2.13	(3.64)	8.46
ARTSX	1.16	(0.20)	(0.36)	1.58	(3.34)	6.80
NSMAX	0.91	(0.29)	(0.94)	1.32	(2.27)	9.04
KSCYX	1.61	(0.10)	(0.24)	2.75	(4.40)	9.10
DFUKX	0.77	(0.07)	0.17	1.45	(2.04)	4.86

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