Schwab Treasury Correlations

SCOXX Fund

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The current 90-days correlation between Schwab Treasury Obli and Real Estate Ultrasector is 0.04 (i.e., Significant diversification). The correlation of Schwab Treasury 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.

Schwab Treasury Correlation With Market

Significant diversification

The correlation between Schwab Treasury Obligations and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Schwab Treasury Obligations and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Schwab Treasury Obligations. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Schwab Money Market Fund

0.8	VGTSX	Vanguard Total Inter	Pair Corr
0.71	VTIAX	Vanguard Total Inter	Pair Corr
0.76	GABFX	Gmo Asset Allocation	Pair Corr
0.62	GHVIX	Gmo High Yield	Pair Corr
0.67	VZ	Verizon Communications	Pair Corr
0.72	JNJ	Johnson Johnson	Pair Corr
0.75	T	ATT Inc Aggressive Push	Pair Corr

Moving against Schwab Money Market Fund

0.41	GCAVX	Gmo Small Cap	Pair Corr
0.32	GMCQX	Gmo Equity Allocation	Pair Corr
0.64	MSFT	Microsoft	Pair Corr
0.64	MRK	Merck Company	Pair Corr
0.44	AXP	American Express	Pair Corr
0.37	HPQ	HP Inc	Pair Corr
0.31	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	REPIX	TRREX	RRSCX	FIKMX	NRSCX
REPIX		0.84	0.97	0.85	0.28	REPIX
TRREX	0.84		0.79	0.84	0.38	TRREX
RRSCX	0.97	0.79		0.76	0.14	RRSCX
FIKMX	0.85	0.84	0.76		0.62	FIKMX
NRSCX	0.28	0.38	0.14	0.62		NRSCX
	REPIX	TRREX	RRSCX	FIKMX	NRSCX

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Risk-Adjusted Indicators

There is a big difference between Schwab Money Market Fund performing well and Schwab Treasury Money Market 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 Schwab Treasury'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
REPIX	1.33	0.07	0.04	0.06	1.75	(1.30)	2.69	(2.65)	7.54
TRREX	0.95	(0.03)	0.00	0.08	0.00	0.00	1.63	(1.89)	4.40
RRSCX	0.72	0.02	0.02	0.03	0.89	(0.75)	1.56	(1.50)	4.16
FIKMX	0.25	0.03	0.09	0.17	0.21	(0.29)	0.59	(0.42)	1.36
NRSCX	0.18	0.00	0.01	(0.03)	0.24	(0.18)	0.31	(0.37)	1.00

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