Multifactor Correlations

RTDCX Fund

USD 15.10 0.02 0.13%

The current 90-days correlation between Multifactor Equity and Scharf Global Opportunity is -0.15 (i.e., Good diversification). The correlation of Multifactor 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.

Multifactor Correlation With Market

Very poor diversification

The correlation between Multifactor Equity Fund and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund 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 Multifactor Equity Fund. 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 main economic indicators.

Moving together with Multifactor Mutual Fund

0.74	RALAX	Growth Strategy	Pair Corr
0.72	RALCX	Growth Strategy	Pair Corr
0.73	RALSX	Growth Strategy	Pair Corr
0.73	RALRX	Growth Strategy	Pair Corr
0.71	RALVX	Growth Strategy	Pair Corr
0.88	RSCRX	Us Small Cap	Pair Corr
0.66	RSECX	Us Strategic Equity	Pair Corr
0.93	RSEAX	Us Strategic Equity	Pair Corr
1.0	RSESX	Us Strategic Equity	Pair Corr
0.65	RBLCX	Balanced Strategy	Pair Corr
0.63	RBLAX	Balanced Strategy	Pair Corr
0.62	RBLVX	Balanced Strategy	Pair Corr
0.93	RTDAX	Multifactor Equity	Pair Corr
0.93	RTDYX	Select Equity	Pair Corr
0.93	RTDSX	Select Equity	Pair Corr
0.93	RTDRX	Select Equity	Pair Corr
0.93	RTDTX	Select Equity	Pair Corr

Moving against Multifactor Mutual Fund

0.61	RSBCX	Short Duration Bond	Pair Corr
0.6	RSBTX	Short Duration Bond	Pair Corr
0.59	RSBYX	Short Duration Bond	Pair Corr
0.59	RSDTX	Short Duration Bond	Pair Corr
0.43	RSBRX	Strategic Bond	Pair Corr
0.37	RNTTX	International Developed	Pair Corr
0.54	RSYTX	Strategic Bond	Pair Corr
0.38	RTISX	Select International	Pair Corr
0.38	RTIRX	Select International	Pair Corr
0.38	RTIYX	Select International	Pair Corr
0.38	RTITX	Select International	Pair Corr

Related Correlations Analysis

	WRLDX	FURYAX	FZDAQX	FFCGX	FTUFOX
WRLDX		0.27	0.56	0.62	0.55	WRLDX
FURYAX	0.27		0.35	0.84	-0.32	FURYAX
FZDAQX	0.56	0.35		0.47	0.58	FZDAQX
FFCGX	0.62	0.84	0.47		-0.03	FFCGX
FTUFOX	0.55	-0.32	0.58	-0.03		FTUFOX
	WRLDX	FURYAX	FZDAQX	FFCGX	FTUFOX

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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

FFCGX	+ 0.84	FURYAX
FFCGX	+ 0.62	WRLDX
FTUFOX	+ 0.58	FZDAQX
FZDAQX	+ 0.56	WRLDX
FTUFOX	+ 0.55	WRLDX
FFCGX	+ 0.47	FZDAQX

High negative correlations

FTUFOX	- 0.32	FURYAX
FTUFOX	- 0.03	FFCGX

Risk-Adjusted Indicators

There is a big difference between Multifactor Mutual Fund performing well and Multifactor 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 Multifactor'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
WRLDX	0.63	0.01	0.01	(0.04)	0.95	(0.60)	1.24	(1.68)	2.96
FURYAX	0.69	0.00	(0.01)	0.00	0.80	(0.78)	1.21	(1.39)	2.96
FZDAQX	0.11	(0.01)	(0.03)	(0.05)	0.17	(0.15)	0.21	(0.21)	1.03
FFCGX	0.74	0.00	0.00	0.00	1.02	(0.75)	1.37	(1.56)	4.66
FTUFOX	0.10	0.00	0.00	0.13	0.01	(0.10)	0.20	(0.19)	0.60

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