Plan Investment Correlations

PIMXX Fund

USD 1.00 0.00 0.00%

The current 90-days correlation between Plan Investment and Vanguard Total Stock is 0.01 (i.e., Significant diversification). The correlation of Plan Investment 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.

Plan Investment Correlation With Market

Good diversification

The correlation between Plan Investment and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Plan Investment 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 Plan Investment. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Plan Money Market Fund

0.65	VTSAX	Vanguard Total Stock	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.64	VTSMX	Vanguard Total Stock	Pair Corr
0.65	VITSX	Vanguard Total Stock	Pair Corr
0.64	VSTSX	Vanguard Total Stock	Pair Corr
0.64	VSMPX	Vanguard Total Stock	Pair Corr
0.63	VFINX	Vanguard 500 Index	Pair Corr
0.62	VFFSX	Vanguard 500 Index	Pair Corr
0.76	CSCO	Cisco Systems	Pair Corr
0.73	DIS	Walt Disney	Pair Corr
0.69	WMT	Walmart Aggressive Push	Pair Corr
0.78	JPM	JPMorgan Chase Earnings Call This Week	Pair Corr
0.73	T	ATT Inc Sell-off Trend	Pair Corr

Moving against Plan Money Market Fund

0.76	VTIAX	Vanguard Total Inter	Pair Corr
0.72	GAAVX	Gmo Alternative Allo	Pair Corr
0.71	VGTSX	Vanguard Total Inter	Pair Corr
0.64	GABFX	Gmo Asset Allocation	Pair Corr
0.92	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.87	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.71	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.67	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.56	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.52	XOM	Exxon Mobil Corp Fiscal Year End 7th of February 2025	Pair Corr
0.48	VZ	Verizon Communications Fiscal Year End 28th of January 2025	Pair Corr
0.4	MMM	3M Company Fiscal Year End 28th of January 2025	Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX
VTSAX		0.92	1.0	1.0	1.0	1.0	0.92	1.0	-0.42	-0.46	VTSAX
VFIAX	0.92		0.91	0.92	0.91	0.91	1.0	0.92	-0.49	-0.53	VFIAX
VTSMX	1.0	0.91		1.0	1.0	1.0	0.91	1.0	-0.39	-0.43	VTSMX
VITSX	1.0	0.92	1.0		1.0	1.0	0.92	1.0	-0.42	-0.46	VITSX
VSTSX	1.0	0.91	1.0	1.0		1.0	0.91	1.0	-0.39	-0.44	VSTSX
VSMPX	1.0	0.91	1.0	1.0	1.0		0.91	1.0	-0.39	-0.43	VSMPX
VFINX	0.92	1.0	0.91	0.92	0.91	0.91		0.92	-0.49	-0.53	VFINX
VFFSX	1.0	0.92	1.0	1.0	1.0	1.0	0.92		-0.4	-0.43	VFFSX
VGTSX	-0.42	-0.49	-0.39	-0.42	-0.39	-0.39	-0.49	-0.4		0.98	VGTSX
VTIAX	-0.46	-0.53	-0.43	-0.46	-0.44	-0.43	-0.53	-0.43	0.98		VTIAX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX

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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

VTSMX	+ 1.0	VTSAX
VITSX	+ 1.0	VTSAX
VSTSX	+ 1.0	VTSAX
VSMPX	+ 1.0	VTSAX
VFFSX	+ 1.0	VTSAX
VFINX	+ 1.0	VFIAX

High negative correlations

VTIAX	- 0.53	VFINX
VTIAX	- 0.53	VFIAX
VGTSX	- 0.49	VFINX
VGTSX	- 0.49	VFIAX
VTIAX	- 0.46	VITSX
VTIAX	- 0.46	VTSAX

Risk-Adjusted Indicators

There is a big difference between Plan Money Market Fund performing well and Plan Investment Money Market 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 Plan Investment'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
VTSAX	0.61	0.06	0.07	0.30	0.81	(0.62)	1.12	(1.13)	5.94
VFIAX	0.56	0.07	0.08	1.37	0.75	(0.57)	1.10	(1.10)	5.48
VTSMX	0.60	0.05	0.06	0.28	0.81	(0.61)	1.11	(1.13)	5.94
VITSX	0.61	0.06	0.07	0.30	0.81	(0.62)	1.10	(1.13)	5.95
VSTSX	0.60	0.05	0.06	0.28	0.81	(0.61)	1.11	(1.13)	5.94
VSMPX	0.60	0.05	0.06	0.28	0.81	(0.61)	1.11	(1.13)	5.94
VFINX	0.56	0.07	0.08	1.37	0.75	(0.57)	1.10	(1.10)	5.48
VFFSX	0.57	0.05	0.05	0.29	0.79	(0.57)	1.10	(1.11)	5.48
VGTSX	0.53	(0.13)	0.00	(1.19)	0.00	0.00	0.83	(1.56)	3.49
VTIAX	0.50	(0.10)	0.00	(0.89)	0.00	0.00	0.82	(1.32)	3.47

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