Royce Opportunity Correlations

RYOFX Fund

USD 13.03 0.35 2.76%

The current 90-days correlation between Royce Opportunity and Clearbridge Value Trust is 0.89 (i.e., Very poor diversification). The correlation of Royce Opportunity 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.

Royce Opportunity Correlation With Market

Poor diversification

The correlation between Royce Opportunity Fund and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Opportunity 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 Royce Opportunity 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 census.

Moving together with Royce Mutual Fund

0.93	RPFFX	Royce Premier	Pair Corr
0.78	RSEFX	Royce Special Equity	Pair Corr
0.94	RDVIX	Royce Dividend Value	Pair Corr
0.97	RVPHX	Royce Smaller Companies	Pair Corr
0.97	RVVHX	Royce Small Cap	Pair Corr
0.94	RYDVX	Royce Dividend Value	Pair Corr
0.99	RYOTX	Royce Micro Cap	Pair Corr
0.99	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.93	RYPRX	Royce Premier	Pair Corr
1.0	RYPNX	Royce Opportunity	Pair Corr
0.78	RYSEX	Royce Special Equity	Pair Corr
0.95	RYTFX	Royce Total Return	Pair Corr
0.95	RYTRX	Royce Total Return	Pair Corr
0.97	RYVFX	Royce Small Cap	Pair Corr
0.97	RYVPX	Royce Smaller Companies	Pair Corr
0.99	RMCFX	Royce Micro Cap	Pair Corr
0.99	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.97	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
0.99	DFSVX	Us Small Cap	Pair Corr
0.99	DFFVX	Us Targeted Value	Pair Corr
0.94	UBVCX	Undiscovered Managers	Pair Corr
0.94	UBVAX	Undiscovered Managers	Pair Corr
0.89	UBVSX	Undiscovered Managers	Pair Corr
0.9	AVFIX	American Beacon Small	Pair Corr

Moving against Royce Mutual Fund

0.71	PUCAX	Prudential Unconstrained	Pair Corr
0.71	HRBDX	Harbor Bond Fund	Pair Corr
0.67	VICSX	Vanguard Intermediate-ter	Pair Corr
0.6	VWICX	Vanguard International	Pair Corr
0.58	GIOIX	Guggenheim Macro Opp	Pair Corr
0.48	PFN	Pimco Income Strategy	Pair Corr
0.44	SGDLX	Sprott Gold Equity	Pair Corr
0.34	PCF	Putnam High Income	Pair Corr

Related Correlations Analysis

	LMVFX	PASTX	LMGFX	RPFGX	RWMEX
LMVFX		0.66	0.31	0.78	0.83	LMVFX
PASTX	0.66		-0.38	0.18	0.52	PASTX
LMGFX	0.31	-0.38		0.74	0.51	LMGFX
RPFGX	0.78	0.18	0.74		0.79	RPFGX
RWMEX	0.83	0.52	0.51	0.79		RWMEX
	LMVFX	PASTX	LMGFX	RPFGX	RWMEX

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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

RWMEX	+ 0.83	LMVFX
RWMEX	+ 0.79	RPFGX
RPFGX	+ 0.78	LMVFX
RPFGX	+ 0.74	LMGFX
PASTX	+ 0.66	LMVFX
RWMEX	+ 0.52	PASTX

High negative correlations

LMGFX

- 0.38

PASTX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Opportunity 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 Royce Opportunity'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
LMVFX	0.78	(0.01)	0.00	(0.05)	0.00	0.00	1.39	(1.91)	3.82
PASTX	1.37	(0.20)	0.00	(0.22)	0.00	0.00	2.22	(3.38)	9.63
LMGFX	0.76	0.06	0.06	0.06	1.10	(0.72)	1.29	(1.48)	5.32
RPFGX	0.85	0.06	0.05	0.03	1.28	(0.82)	1.66	(2.39)	6.45
RWMEX	0.76	(0.06)	0.00	(0.14)	0.00	0.00	1.22	(1.44)	4.45

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