Royce Total Correlations

RYTRX Fund

USD 7.18 0.05 0.69%

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

Significant diversification

The correlation between Royce Total Return and DJI is 0.04 (i.e., Significant 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 metropolitan statistical area.

Moving together with Royce Mutual Fund

0.97	VSIIX	Vanguard Small Cap	Pair Corr
0.76	VISVX	Vanguard Small Cap	Pair Corr
0.96	DFSVX	Us Small Cap	Pair Corr
0.97	DFFVX	Us Targeted Value	Pair Corr
0.95	UBVCX	Undiscovered Managers	Pair Corr
0.95	UBVAX	Undiscovered Managers	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.96	AVFIX	American Beacon Small	Pair Corr
0.78	WRHIX	Ivy High Income	Pair Corr
0.76	WHIAX	Ivy High Income	Pair Corr
0.74	IHIFX	Ivy High Income	Pair Corr
0.74	IVHIX	Ivy High Income	Pair Corr

Moving against Royce Mutual Fund

0.6	USGDX	Morgan Stanley Government	Pair Corr
0.54	HRBDX	Harbor Bond Fund	Pair Corr
0.49	VICSX	Vanguard Intermediate-ter	Pair Corr
0.43	LIIAX	Columbia Porate Income	Pair Corr
0.42	SRINX	Columbia Porate Income	Pair Corr
0.4	GIOIX	Guggenheim Macro Opp	Pair Corr
0.38	ABNOX	Ab Bond Inflation	Pair Corr

Related Correlations Analysis

	0P000070L2	SWGXX	GCFSX	JHMXX	FMFXX	JRSXX	XFINX	SPAXX
0P000070L2		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0P000070L2
SWGXX	0.0		0.49	0.0	0.0	0.0	0.28	0.46	SWGXX
GCFSX	0.0	0.49		0.0	0.0	0.0	0.45	0.79	GCFSX
JHMXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	JHMXX
FMFXX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	FMFXX
JRSXX	0.0	0.0	0.0	0.0	0.0		0.0	0.0	JRSXX
XFINX	0.0	0.28	0.45	0.0	0.0	0.0		0.28	XFINX
SPAXX	0.0	0.46	0.79	0.0	0.0	0.0	0.28		SPAXX
	0P000070L2	SWGXX	GCFSX	JHMXX	FMFXX	JRSXX	XFINX	SPAXX

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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

SPAXX	+ 0.79	GCFSX
GCFSX	+ 0.49	SWGXX
SPAXX	+ 0.46	SWGXX
XFINX	+ 0.45	GCFSX
XFINX	+ 0.28	SWGXX
SPAXX	+ 0.28	XFINX

High negative correlations

SPAXX	- 0.0	JRSXX
XFINX	- 0.0	JRSXX
SPAXX	- 0.0	FMFXX
XFINX	- 0.0	FMFXX
JRSXX	- 0.0	FMFXX
SPAXX	- 0.0	JHMXX

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
0P000070L2	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SWGXX	0.03	0.00	0.00	(0.29)	0.00	0.00	0.00	0.00	1.01
GCFSX	0.75	0.10	0.10	0.06	1.04	(0.76)	1.80	(2.41)	4.68
JHMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FMFXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JRSXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
XFINX	0.14	(0.01)	0.00	(0.14)	0.00	0.00	0.28	(0.64)	1.27
SPAXX	0.03	0.01	0.00	0.62	0.00	0.00	0.00	0.00	1.01

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