Royce Special Correlations

RYSEX Fund

USD 18.45 0.03 0.16%

The current 90-days correlation between Royce Special Equity and Amg Yacktman Fund is 0.6 (i.e., Poor diversification). The correlation of Royce Special 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 Special Correlation With Market

Very poor diversification

The correlation between Royce Special Equity and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Special Equity 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 Special Equity. 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 income.

Moving together with Royce Mutual Fund

0.94	RPFFX	Royce Premier	Pair Corr
0.95	RSEFX	Royce Special Equity	Pair Corr
0.96	RDVIX	Royce Dividend Value	Pair Corr
0.95	RVPHX	Royce Smaller Companies	Pair Corr
0.96	RVVHX	Royce Small Cap	Pair Corr
0.95	RYDVX	Royce Dividend Value	Pair Corr
0.9	RYOFX	Royce Opportunity	Pair Corr
0.95	RYOTX	Royce Micro Cap	Pair Corr
0.97	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.98	RYPRX	Royce Premier	Pair Corr
0.9	RYPNX	Royce Opportunity	Pair Corr
0.94	RYTFX	Royce Total Return	Pair Corr
0.98	RYTRX	Royce Total Return	Pair Corr
0.96	RYVFX	Royce Small Cap	Pair Corr
0.93	RYVPX	Royce Smaller Companies	Pair Corr
0.95	RMCFX	Royce Micro Cap	Pair Corr
0.97	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.93	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
0.98	DFSVX	Us Small Cap	Pair Corr
0.98	DFFVX	Us Targeted Value	Pair Corr
0.91	UBVCX	Undiscovered Managers	Pair Corr
0.91	UBVAX	Undiscovered Managers	Pair Corr
0.96	UBVSX	Undiscovered Managers	Pair Corr
0.98	AVFIX	American Beacon Small	Pair Corr
0.89	LSHUX	Horizon Spin Off	Pair Corr
0.89	KMKCX	Kinetics Market Oppo	Pair Corr
0.89	KNPYX	Kinetics Paradigm	Pair Corr
0.89	KMKAX	Kinetics Market Oppo	Pair Corr
0.88	LSHCX	Horizon Spin Off	Pair Corr
0.89	WWNPX	Kinetics Paradigm	Pair Corr
0.89	KNPCX	Kinetics Paradigm	Pair Corr

Moving against Royce Mutual Fund

0.5	RYIPX	Royce International	Pair Corr
0.5	RIPNX	Royce International	Pair Corr
0.5	RIPIX	Royce International	Pair Corr

Related Correlations Analysis

	YACKX	RYPNX	RYTRX	RYPRX	FAIRX
YACKX		0.76	0.75	0.8	-0.19	YACKX
RYPNX	0.76		0.95	0.92	-0.63	RYPNX
RYTRX	0.75	0.95		0.98	-0.71	RYTRX
RYPRX	0.8	0.92	0.98		-0.63	RYPRX
FAIRX	-0.19	-0.63	-0.71	-0.63		FAIRX
	YACKX	RYPNX	RYTRX	RYPRX	FAIRX

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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

RYPRX	+ 0.98	RYTRX
RYTRX	+ 0.95	RYPNX
RYPRX	+ 0.92	RYPNX
RYPRX	+ 0.8	YACKX
RYPNX	+ 0.76	YACKX
RYTRX	+ 0.75	YACKX

High negative correlations

FAIRX	- 0.71	RYTRX
FAIRX	- 0.63	RYPRX
FAIRX	- 0.63	RYPNX
FAIRX	- 0.19	YACKX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Special 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 Special'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
YACKX	0.38	(0.03)	(0.22)	0.05	0.35	(0.44)	1.00	(0.58)	2.43
RYPNX	0.93	0.21	0.13	0.96	0.69	(1.17)	2.36	(1.48)	7.47
RYTRX	0.84	0.06	0.14	0.16	0.56	(1.10)	2.20	(1.40)	7.14
RYPRX	0.77	0.01	0.03	0.12	0.73	(0.90)	1.97	(1.28)	5.28
FAIRX	0.75	(0.28)	0.00	(0.28)	0.00	0.00	1.63	(1.74)	6.58

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