Schwab Government Correlations

SWGXX Fund

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The current 90-days correlation between Schwab Government Money and Massmutual Premier E is 0.12 (i.e., Average diversification). The correlation of Schwab Government 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 Government Correlation With Market

Good diversification

The correlation between Schwab Government Money and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Schwab Government Money 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 Government Money. 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

0.89	RYMEX	Commodities Strategy	Pair Corr
0.89	RYMJX	Commodities Strategy	Pair Corr
0.89	RYMBX	Commodities Strategy	Pair Corr
0.63	CSCO	Cisco Systems	Pair Corr
0.61	BA	Boeing	Pair Corr

Moving against Schwab Money Market Fund

0.96	SPGSX	State Street Premier	Pair Corr
0.73	AA	Alcoa Corp	Pair Corr
0.52	BRUFX	Bruce Fund Bruce	Pair Corr
0.67	DIS	Walt Disney	Pair Corr
0.58	PG	Procter Gamble	Pair Corr
0.56	MSFT	Microsoft	Pair Corr
0.55	MRK	Merck Company Aggressive Push	Pair Corr
0.47	CAT	Caterpillar	Pair Corr
0.47	TRV	The Travelers Companies	Pair Corr
0.43	DD	Dupont De Nemours	Pair Corr
0.39	HD	Home Depot	Pair Corr
0.38	XOM	Exxon Mobil Corp	Pair Corr

Related Correlations Analysis

	MCZRX	TTRBX	FZODX	DODLX	TRZOX	DLENX
MCZRX		0.95	0.99	0.97	0.45	0.73	MCZRX
TTRBX	0.95		0.92	0.9	0.7	0.88	TTRBX
FZODX	0.99	0.92		0.97	0.4	0.7	FZODX
DODLX	0.97	0.9	0.97		0.4	0.74	DODLX
TRZOX	0.45	0.7	0.4	0.4		0.85	TRZOX
DLENX	0.73	0.88	0.7	0.74	0.85		DLENX
	MCZRX	TTRBX	FZODX	DODLX	TRZOX	DLENX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Schwab Money Market Fund performing well and Schwab Government 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 Government'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
MCZRX	0.25	0.03	0.16	0.38	0.18	(0.30)	0.68	(0.45)	1.60
TTRBX	0.16	0.02	0.22	0.59	0.00	(0.20)	0.41	(0.30)	0.91
FZODX	0.23	0.03	0.18	0.34	0.11	(0.33)	0.62	(0.41)	1.54
DODLX	0.25	0.02	0.12	0.16	0.24	(0.29)	0.57	(0.56)	1.69
TRZOX	0.09	0.00	0.17	0.00	0.00	(0.25)	0.22	(0.22)	0.66
DLENX	0.12	0.02	0.24	1.17	0.00	(0.16)	0.22	(0.11)	0.67

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