Spectrum Fund Correlations

SRUIX Fund

USD 13.54 0.22 1.65%

The current 90-days correlation between Spectrum Fund Instit and Cref Money Market is -0.12 (i.e., Good diversification). The correlation of Spectrum Fund 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.

Spectrum Fund Correlation With Market

Very poor diversification

The correlation between Spectrum Fund Institutional and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Spectrum Fund Institutional 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 Spectrum Fund Institutional. 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 gross domestic product.

Moving together with Spectrum Mutual Fund

1.0	SRUAX	Spectrum Fund Adviser	Pair Corr
0.95	QNTAX	Quantex Fund Adviser	Pair Corr
0.88	BLNAX	Balanced Fund Adviser	Pair Corr
0.86	FLCGX	Quantex Fund Retail	Pair Corr
0.88	FLDOX	Dividend Opportunities	Pair Corr
0.96	FLDGX	Dynamic Growth	Pair Corr
0.97	FLDFX	Balanced Fund Retail	Pair Corr
0.99	FLMIX	Muirfield Fund Insti	Pair Corr
0.92	FLMFX	Muirfield Fund Retail	Pair Corr
0.99	FLMAX	Muirfield Fund Adviser	Pair Corr
1.0	FLSPX	Spectrum Fund Retail	Pair Corr
0.88	DVOIX	Dividend Opportunities	Pair Corr
0.84	NLSCX	Neuberger Berman Long	Pair Corr
0.81	NLSAX	Neuberger Berman Long	Pair Corr
0.8	NLSIX	Neuberger Berman Long	Pair Corr
0.83	ASLAX	Ab Select Longshort	Pair Corr
0.77	GPMFX	Guidepath Managed Futures	Pair Corr

Moving against Spectrum Mutual Fund

0.78	GAAKX	Gmo Alternative Allo	Pair Corr
0.52	PWLMX	Pimco Rae Worldwide	Pair Corr
0.51	PWLIX	Pimco Rae Worldwide	Pair Corr
0.31	BNDAX	Total Return Bond	Pair Corr
0.82	GAAGX	Gmo Alternative Allo	Pair Corr
0.67	GF	New Germany Closed	Pair Corr
0.55	USGDX	Morgan Stanley Government	Pair Corr
0.52	GPBFX	Gmo E Plus	Pair Corr
0.52	PSDNX	Putnam Ultra Short	Pair Corr
0.51	BISMX	Brandes International	Pair Corr
0.48	HRBDX	Harbor Bond Fund	Pair Corr
0.46	ARBOX	Absolute Convertible	Pair Corr
0.46	ABNOX	Ab Bond Inflation	Pair Corr
0.44	VICSX	Vanguard Intermediate-ter	Pair Corr
0.42	SAEMX	Sa Emerging Markets	Pair Corr

Related Correlations Analysis

	QCMMIX	AEYXX	FNPIX	SWGXX	DVFYX	PSSRX	IVMXX	JRSXX
QCMMIX		0.0	0.16	0.59	0.41	-0.21	0.0	0.0	QCMMIX
AEYXX	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AEYXX
FNPIX	0.16	0.0		0.23	0.95	0.84	0.0	0.0	FNPIX
SWGXX	0.59	0.0	0.23		0.43	0.07	0.0	0.0	SWGXX
DVFYX	0.41	0.0	0.95	0.43		0.72	0.0	0.0	DVFYX
PSSRX	-0.21	0.0	0.84	0.07	0.72		0.0	0.0	PSSRX
IVMXX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	IVMXX
JRSXX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		JRSXX
	QCMMIX	AEYXX	FNPIX	SWGXX	DVFYX	PSSRX	IVMXX	JRSXX

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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

DVFYX	+ 0.95	FNPIX
PSSRX	+ 0.84	FNPIX
PSSRX	+ 0.72	DVFYX
SWGXX	+ 0.59	QCMMIX
DVFYX	+ 0.43	SWGXX
DVFYX	+ 0.41	QCMMIX

High negative correlations

PSSRX	- 0.21	QCMMIX
JRSXX	- 0.0	IVMXX
JRSXX	- 0.0	PSSRX
IVMXX	- 0.0	PSSRX
JRSXX	- 0.0	DVFYX
IVMXX	- 0.0	DVFYX

Risk-Adjusted Indicators

There is a big difference between Spectrum Mutual Fund performing well and Spectrum Fund 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 Spectrum Fund'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
QCMMIX	0.02	0.01	0.00	(6.00)	0.00	0.00	0.03	0.00	0.03
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FNPIX	1.26	0.04	0.02	(0.40)	1.89	(1.24)	2.66	(3.48)	9.08
SWGXX	0.03	0.01	0.00	(3.12)	0.00	0.00	0.00	0.00	1.01
DVFYX	0.84	0.05	0.04	(0.58)	1.25	(0.81)	1.65	(2.39)	6.47
PSSRX	0.94	(0.06)	0.00	(0.06)	0.00	0.00	1.85	(2.57)	6.03
IVMXX	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

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