Pax Small Correlations

PXSIX Fund

USD 16.63 0.10 0.60%

The current 90-days correlation between Pax Small Cap and Pax Msci Eafe is 0.75 (i.e., Poor diversification). The correlation of Pax Small 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.

Pax Small Correlation With Market

Poor diversification

The correlation between Pax Small Cap and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pax Small Cap 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 Pax Small Cap. 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 gross domestic product.

Moving together with PAX Mutual Fund

0.8	PXEAX	Pax Global Environmental	Pair Corr
0.84	PXGOX	Pax Global Opportunities	Pair Corr
0.87	PXGAX	Pax Esg Beta	Pair Corr
0.87	PXLIX	Pax Large Cap	Pair Corr
1.0	PXSAX	Pax Small Cap	Pair Corr
1.0	PXSCX	Pax Small Cap	Pair Corr
0.87	PXWGX	Pax Esg Beta	Pair Corr
0.87	PXWIX	Pax Ellevate Global	Pair Corr
0.87	PXWEX	Pax Ellevate Global	Pair Corr
0.79	PGRNX	Pax Global Environmental	Pair Corr
0.89	PAXIX	Pax Balanced	Pair Corr
0.89	PAXWX	Pax Balanced	Pair Corr
0.88	PWGIX	Pax Esg Beta	Pair Corr
0.91	VSMAX	Vanguard Small Cap	Pair Corr
0.92	VSCIX	Vanguard Small Cap	Pair Corr
0.91	VSCPX	Vanguard Small Cap	Pair Corr
0.92	NAESX	Vanguard Small Cap	Pair Corr
0.94	FSSNX	Fidelity Small Cap	Pair Corr
0.94	DFSTX	Us Small Cap	Pair Corr
0.93	PASVX	T Rowe Price	Pair Corr
0.93	PRVIX	T Rowe Price	Pair Corr
0.92	TRZVX	T Rowe Price	Pair Corr
0.91	PRSVX	T Rowe Price	Pair Corr
0.75	SMPIX	Semiconductor Ultrasector	Pair Corr
0.72	SMPSX	Semiconductor Ultrasector	Pair Corr

Moving against PAX Mutual Fund

0.47	PXBIX	Pax E Bond	Pair Corr
0.45	PXINX	Pax Msci Eafe	Pair Corr
0.45	PXNIX	Pax Msci Eafe	Pair Corr
0.32	PXDIX	Pax Esg Beta	Pair Corr
0.7	AGIVX	Invesco Government	Pair Corr
0.57	TTEEX	T Rowe Price	Pair Corr
0.57	TREMX	T Rowe Price	Pair Corr
0.52	DIMIX	Dreyfus Short Interm	Pair Corr
0.51	PRAPX	Pimco Total Return	Pair Corr

Related Correlations Analysis

	PXNIX	PGINX	PXWIX	PFPMX	CRANX
PXNIX		0.25	-0.07	-0.19	0.87	PXNIX
PGINX	0.25		0.52	0.57	-0.05	PGINX
PXWIX	-0.07	0.52		0.91	-0.12	PXWIX
PFPMX	-0.19	0.57	0.91		-0.25	PFPMX
CRANX	0.87	-0.05	-0.12	-0.25		CRANX
	PXNIX	PGINX	PXWIX	PFPMX	CRANX

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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

PFPMX	+ 0.91	PXWIX
CRANX	+ 0.87	PXNIX
PFPMX	+ 0.57	PGINX
PXWIX	+ 0.52	PGINX
PGINX	+ 0.25	PXNIX

High negative correlations

CRANX	- 0.25	PFPMX
PFPMX	- 0.19	PXNIX
CRANX	- 0.12	PXWIX
PXWIX	- 0.07	PXNIX
CRANX	- 0.05	PGINX

Risk-Adjusted Indicators

There is a big difference between PAX Mutual Fund performing well and Pax Small 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 Pax Small'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
PXNIX	0.66	0.13	0.18	0.15	0.75	(0.73)	1.34	(1.27)	4.91
PGINX	0.77	0.00	0.00	(0.07)	0.00	0.00	1.31	(1.69)	4.42
PXWIX	0.76	(0.11)	0.00	(0.24)	0.00	0.00	1.21	(1.63)	6.10
PFPMX	0.78	(0.22)	0.00	0.93	0.00	0.00	1.38	(2.06)	3.90
CRANX	0.19	0.00	0.29	(0.07)	0.19	(0.23)	0.43	(0.32)	1.08

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