Sarofim Equity Correlations
| SRFMX Fund | USD 14.43 0.01 0.07% |
The current 90-days correlation between Sarofim Equity and Invesco Global Health is 0.04 (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
Significant diversification
The correlation between Sarofim Equity and DJI is 0.05 (i.e., Significant 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.
Sarofim |
Moving against Sarofim Mutual Fund
| 0.83 | ENGRX | Vest Large Cap | PairCorr |
| 0.77 | PSHAX | Short Term Fund | PairCorr |
| 0.74 | EIBLX | Eaton Vance Floating | PairCorr |
| 0.74 | CUSDX | Six Circles Ultra | PairCorr |
| 0.65 | SWSFX | Ultra Short Fixed | PairCorr |
| 0.33 | PUBAX | Pimco Unconstrained Bond | PairCorr |
| 0.33 | VTCAX | Vanguard Telecommunicatio | PairCorr |
| 0.7 | LGRAX | Lord Abbett Investment | PairCorr |
| 0.58 | PSTIX | Stocksplus Tr Short | PairCorr |
| 0.47 | MKEFX | Blackrock Eurofund Class | PairCorr |
| 0.31 | EIHIX | Eaton Vance High | PairCorr |
Related Correlations Analysis
| 0.4 | 0.89 | 0.88 | 0.79 | 0.83 | GTHCX | ||
| 0.4 | 0.46 | 0.59 | 0.76 | 0.66 | XHQHX | ||
| 0.89 | 0.46 | 0.94 | 0.83 | 0.84 | LOGSX | ||
| 0.88 | 0.59 | 0.94 | 0.89 | 0.9 | XXGRX | ||
| 0.79 | 0.76 | 0.83 | 0.89 | 0.9 | BHCHX | ||
| 0.83 | 0.66 | 0.84 | 0.9 | 0.9 | JAFKX | ||
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GTHCX | 0.74 | (0.10) | 0.00 | (0.16) | 0.00 | 1.09 | 10.67 | |||
| XHQHX | 0.84 | (0.01) | 0.00 | 0.02 | 1.23 | 1.64 | 5.93 | |||
| LOGSX | 0.63 | (0.02) | 0.00 | (0.30) | 0.00 | 1.18 | 4.09 | |||
| XXGRX | 0.76 | 0.00 | 0.01 | 0.07 | 0.90 | 1.51 | 4.50 | |||
| BHCHX | 0.62 | (0.03) | 0.00 | 0.26 | 0.00 | 1.19 | 3.97 | |||
| JAFKX | 0.71 | 0.00 | 0.00 | (0.01) | 0.93 | 1.28 | 4.10 |