Royce Total Correlations

RYTFX Fund

USD 7.86 0.03 0.38%

The current 90-days correlation between Royce Total Return and Harbor International Fund is -0.02 (i.e., Good diversification). The correlation of Royce Total 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 Total Correlation With Market

Weak diversification

The correlation between Royce Total Return and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Total Return 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 Total Return. 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

0.63	RPFFX	Royce Premier	Pair Corr
0.89	RSEFX	Royce Special Equity	Pair Corr
0.84	RYDVX	Royce Dividend Value	Pair Corr
0.8	RYOFX	Royce Opportunity	Pair Corr
0.8	RYOTX	Royce Micro Cap	Pair Corr
0.61	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.8	RYPNX	Royce Opportunity	Pair Corr
0.9	RYSEX	Royce Special Equity	Pair Corr
0.85	RYTRX	Royce Total Return	Pair Corr
0.69	RYVPX	Royce Smaller Companies	Pair Corr
0.95	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.62	VSIIX	Vanguard Small Cap	Pair Corr
0.62	VISVX	Vanguard Small Cap	Pair Corr
0.61	DFSVX	Us Small Cap	Pair Corr
0.63	DFFVX	Us Targeted Value	Pair Corr
0.62	UBVCX	Undiscovered Managers	Pair Corr
0.62	UBVAX	Undiscovered Managers	Pair Corr
0.62	UBVSX	Undiscovered Managers	Pair Corr
0.67	WHIYX	Ivy High Income	Pair Corr
0.68	IVHIX	Ivy High Income	Pair Corr
0.69	IHIFX	Ivy High Income	Pair Corr
0.66	WRHIX	Ivy High Income	Pair Corr
0.68	WHIAX	Ivy High Income	Pair Corr

Moving against Royce Mutual Fund

0.94	RYCQX	Inverse Russell 2000	Pair Corr
0.36	NOM	Nuveen Missouri Quality	Pair Corr

Related Correlations Analysis

	HIINX	JVLAX	SCETX	JVAAX	WACIX
HIINX		0.26	0.25	0.5	0.85	HIINX
JVLAX	0.26		0.61	0.63	0.56	JVLAX
SCETX	0.25	0.61		0.81	0.42	SCETX
JVAAX	0.5	0.63	0.81		0.68	JVAAX
WACIX	0.85	0.56	0.42	0.68		WACIX
	HIINX	JVLAX	SCETX	JVAAX	WACIX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Total 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 Total'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
HIINX	0.57	0.09	0.14	0.16	0.62	(0.63)	1.32	(0.97)	3.51
JVLAX	0.70	(0.19)	0.00	(0.38)	0.00	0.00	1.01	(1.25)	10.41
SCETX	0.87	(0.31)	0.00	(0.45)	0.00	0.00	1.20	(1.69)	13.55
JVAAX	0.67	(0.19)	0.00	(0.35)	0.00	0.00	0.97	(1.29)	8.36
WACIX	0.26	0.02	0.13	0.21	0.22	(0.31)	0.55	(0.54)	1.55

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