Research Affiliates Correlations

NIXT Etf

23.74 0.14 0.59%

The current 90-days correlation between Research Affiliates and JPMorgan Fundamental Data is 0.92 (i.e., Almost no diversification). The correlation of Research Affiliates 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.

Research Affiliates Correlation With Market

Very poor diversification

The correlation between Research Affiliates Deletions and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Research Affiliates Deletions 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 Research Affiliates Deletions. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Research Etf

0.72	VOE	Vanguard Mid Cap	Pair Corr
0.91	IWS	iShares Russell Mid	Pair Corr
0.82	COWZ	Pacer Cash Cows Sell-off Trend	Pair Corr
0.91	DON	WisdomTree MidCap	Pair Corr
0.81	PKW	Invesco BuyBack Achievers	Pair Corr
0.9	UPRO	ProShares UltraPro SP500	Pair Corr
0.9	QTJA	Innovator ETFs Trust Low Volatility	Pair Corr
0.91	QTOC	Innovator ETFs Trust	Pair Corr
0.89	XTOC	Innovator ETFs Trust	Pair Corr
0.88	XTJA	Innovator ETFs Trust	Pair Corr
0.65	WMT	Walmart	Pair Corr
0.9	HD	Home Depot	Pair Corr
0.83	MSFT	Microsoft	Pair Corr
0.72	AA	Alcoa Corp	Pair Corr
0.84	DIS	Walt Disney	Pair Corr
0.77	CAT	Caterpillar	Pair Corr
0.63	BA	Boeing	Pair Corr
0.61	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.88	BAC	Bank of America Aggressive Push	Pair Corr

Moving against Research Etf

0.58	GDXU	MicroSectors Gold Miners	Pair Corr
0.32	SDY	SPDR SP Dividend	Pair Corr
0.77	TRV	The Travelers Companies	Pair Corr
0.77	VZ	Verizon Communications	Pair Corr
0.67	T	ATT Inc Aggressive Push	Pair Corr
0.61	MCD	McDonalds	Pair Corr
0.43	CVX	Chevron Corp	Pair Corr
0.36	IBM	International Business	Pair Corr

Related Correlations Analysis

	MCDS	VO	MDYG	MDYV	MIDE	MYLD	EFAA	EFFE	EFFI
MCDS		0.95	0.98	0.97	0.99	0.95	-0.47	-0.39	-0.55	MCDS
VO	0.95		0.88	0.96	0.93	0.81	-0.18	-0.14	-0.28	VO
MDYG	0.98	0.88		0.94	0.99	0.98	-0.6	-0.49	-0.67	MDYG
MDYV	0.97	0.96	0.94		0.98	0.9	-0.35	-0.32	-0.44	MDYV
MIDE	0.99	0.93	0.99	0.98		0.96	-0.48	-0.42	-0.57	MIDE
MYLD	0.95	0.81	0.98	0.9	0.96		-0.68	-0.55	-0.74	MYLD
EFAA	-0.47	-0.18	-0.6	-0.35	-0.48	-0.68		0.84	0.96	EFAA
EFFE	-0.39	-0.14	-0.49	-0.32	-0.42	-0.55	0.84		0.84	EFFE
EFFI	-0.55	-0.28	-0.67	-0.44	-0.57	-0.74	0.96	0.84		EFFI
	MCDS	VO	MDYG	MDYV	MIDE	MYLD	EFAA	EFFE	EFFI

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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

MIDE	+ 0.99	MCDS
MIDE	+ 0.99	MDYG
MDYG	+ 0.98	MCDS
MYLD	+ 0.98	MDYG
MIDE	+ 0.98	MDYV
MDYV	+ 0.97	MCDS

High negative correlations

EFFI	- 0.74	MYLD
EFAA	- 0.68	MYLD
EFFI	- 0.67	MDYG
EFAA	- 0.6	MDYG
EFFI	- 0.57	MIDE
EFFE	- 0.55	MYLD

Research Affiliates Constituents Risk-Adjusted Indicators

There is a big difference between Research Etf performing well and Research Affiliates ETF 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 Research Affiliates' 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
MCDS	0.77	(0.05)	0.00	(0.05)	0.00	0.00	1.46	(1.85)	4.03
VO	0.71	0.00	0.00	(0.01)	0.82	(0.88)	1.48	(1.45)	3.64
MDYG	0.93	(0.10)	0.00	(0.09)	0.00	0.00	1.72	(2.21)	4.87
MDYV	0.75	(0.01)	0.00	(0.02)	0.00	0.00	1.43	(1.83)	3.41
MIDE	0.82	(0.05)	0.00	(0.05)	0.00	0.00	1.55	(1.61)	4.05
MYLD	0.74	(0.12)	0.00	(0.14)	0.00	0.00	1.33	(1.60)	4.22
EFAA	0.48	0.11	0.18	0.26	0.43	(0.52)	1.01	(0.88)	3.48
EFFE	0.85	0.09	0.07	0.22	1.10	(0.96)	1.61	(2.05)	6.51
EFFI	0.67	0.10	0.11	(0.36)	0.80	(0.71)	1.45	(1.31)	4.21

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