Sarofim Equity Correlations

SRFMX Fund

USD 13.77 0.03 0.22%

The current 90-days correlation between Sarofim Equity and Vanguard Short Term Government is 0.07 (i.e., Significant diversification). The correlation of Sarofim Equity 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.

Sarofim Equity Correlation With Market

Modest diversification

The correlation between Sarofim Equity and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sarofim Equity 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 Sarofim 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 population.

Moving together with Sarofim Mutual Fund

0.81

ABCVX

American Beacon

Pair Corr

Moving against Sarofim Mutual Fund

0.47	LIFAX	Lord Abbett Inflation	Pair Corr
0.34	MFIRX	Ms Global Fixed	Pair Corr
0.31	ALEFX	Alps/alerian Energy	Pair Corr
0.55	HIO	Western Asset High	Pair Corr
0.44	HIMZX	Virtus Low Duration	Pair Corr
0.41	TRIGX	T Rowe Price	Pair Corr
0.32	WATCX	Western Asset Interm	Pair Corr

Related Correlations Analysis

	VSBIX	CGTFX	MXDQX	WMBDX	RGVEX	DPIGX
VSBIX		0.94	0.92	0.92	0.9	0.96	VSBIX
CGTFX	0.94		0.99	0.99	0.96	0.93	CGTFX
MXDQX	0.92	0.99		0.99	0.96	0.9	MXDQX
WMBDX	0.92	0.99	0.99		0.96	0.91	WMBDX
RGVEX	0.9	0.96	0.96	0.96		0.94	RGVEX
DPIGX	0.96	0.93	0.9	0.91	0.94		DPIGX
	VSBIX	CGTFX	MXDQX	WMBDX	RGVEX	DPIGX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Sarofim Mutual Fund performing well and Sarofim Equity 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 Sarofim Equity'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
VSBIX	0.06	0.01	0.94	6.53	0.00	(0.08)	0.16	(0.12)	0.33
CGTFX	0.25	0.02	0.28	0.51	0.24	(0.29)	0.60	(0.43)	1.55
MXDQX	0.22	0.02	0.28	0.50	0.19	(0.28)	0.50	(0.38)	1.26
WMBDX	0.25	0.02	0.25	0.50	0.23	(0.31)	0.63	(0.51)	1.43
RGVEX	0.25	0.01	0.26	(0.25)	0.24	(0.31)	0.51	(0.42)	1.38
DPIGX	0.08	0.01	0.67	(1.07)	0.00	(0.14)	0.21	(0.11)	0.53

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC