Litman Gregory Correlations

PCGG Etf

12.27 0.04 0.32%

The current 90-days correlation between Litman Gregory Funds and Capital Group Global is 0.67 (i.e., Poor diversification). The correlation of Litman Gregory 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.

Litman Gregory Correlation With Market

Weak diversification

The correlation between Litman Gregory Funds and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Litman Gregory Funds and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Litman Gregory Funds. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Litman Etf

0.85	CGGO	Capital Group Global	Pair Corr
0.91	TMFG	Motley Fool Global	Pair Corr
0.86	GBUY	Goldman Sachs Future	Pair Corr
0.9	BUYZ	Franklin Disruptive Low Volatility	Pair Corr
0.75	PMBS	PIMCO Mortgage Backed	Pair Corr
0.67	IBM	International Business	Pair Corr
0.71	T	ATT Inc Aggressive Push	Pair Corr
0.65	HD	Home Depot Earnings Call This Week	Pair Corr

Moving against Litman Etf

0.31

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	CGGO	TMFG	ERTH	GSFP	GBUY	FDRV	BUYZ
CGGO		0.85	0.15	0.51	0.85	0.59	0.84	CGGO
TMFG	0.85		0.33	0.72	0.75	0.48	0.91	TMFG
ERTH	0.15	0.33		0.72	0.1	0.59	0.1	ERTH
GSFP	0.51	0.72	0.72		0.26	0.46	0.48	GSFP
GBUY	0.85	0.75	0.1	0.26		0.61	0.86	GBUY
FDRV	0.59	0.48	0.59	0.46	0.61		0.5	FDRV
BUYZ	0.84	0.91	0.1	0.48	0.86	0.5		BUYZ
	CGGO	TMFG	ERTH	GSFP	GBUY	FDRV	BUYZ

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Litman Gregory Constituents Risk-Adjusted Indicators

There is a big difference between Litman Etf performing well and Litman Gregory 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 Litman Gregory'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
CGGO	0.62	0.02	0.02	0.04	0.96	(0.60)	1.06	(1.29)	4.43
TMFG	0.56	0.03	0.04	0.07	0.77	(0.57)	1.22	(1.06)	4.42
ERTH	0.88	(0.04)	0.00	(0.11)	0.00	0.00	1.81	(1.68)	5.17
GSFP	0.64	(0.02)	0.00	(0.04)	0.00	0.00	1.16	(1.50)	4.20
GBUY	0.67	0.08	0.09	0.17	0.78	(0.74)	1.45	(1.50)	4.01
FDRV	1.19	0.06	0.04	0.15	1.38	(1.29)	2.73	(2.11)	6.85
BUYZ	0.73	0.15	0.12	0.27	1.08	(0.76)	1.46	(1.50)	5.26

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