High Yield Correlations

THYAX Fund

USD 7.52 0.02 0.27%

The current 90-days correlation between High Yield Fund and Pgim Conservative Retirement is 0.57 (i.e., Very weak diversification). The correlation of High Yield 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.

High Yield Correlation With Market

Modest diversification

The correlation between High Yield Fund and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding High Yield Fund 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 High Yield Fund. 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 nation.

Moving together with High Mutual Fund

0.82	TEGIX	Mid Cap Growth	Pair Corr
0.62	TEGYX	Mid Cap Growth	Pair Corr
0.81	TEQCX	Touchstone Sustainability	Pair Corr
0.81	TEQAX	Touchstone Sustainability	Pair Corr
0.82	TFFCX	Touchstone Focused	Pair Corr
0.63	TFGRX	Touchstone Mid Cap	Pair Corr
0.84	TFFIX	Touchstone Focused	Pair Corr
0.66	SSSGX	Sentinel Low Duration	Pair Corr
0.84	TFFYX	Touchstone Focused	Pair Corr
0.75	SBACX	Sentinel Balanced	Pair Corr
0.84	TFOAX	Touchstone Focused	Pair Corr
0.65	TFSLX	Touchstone Flexible	Pair Corr
0.84	CFSIX	Touchstone Sands Capital	Pair Corr
0.84	SCRLX	Sentinel Mon Stock	Pair Corr
0.81	SCSCX	Sentinel Mon Stock	Pair Corr
0.99	THIYX	High Yield Fund	Pair Corr
0.99	THYCX	High Yield Fund	Pair Corr
0.99	THYYX	High Yield Fund	Pair Corr
0.78	SEBLX	Sentinel Balanced	Pair Corr
0.82	TIQIX	Touchstone Sustainability	Pair Corr
0.83	SENCX	Sentinel Mon Stock	Pair Corr
0.84	CISGX	Touchstone Sands Capital	Pair Corr

Related Correlations Analysis

	PGFCX	HIIDX	GPICX	JDJRX	DLTZX	FHCOX	FPTPX
PGFCX		0.92	0.03	0.01	0.3	-0.04	0.94	PGFCX
HIIDX	0.92		0.15	0.13	0.41	0.09	0.94	HIIDX
GPICX	0.03	0.15		0.93	0.88	0.96	0.04	GPICX
JDJRX	0.01	0.13	0.93		0.86	0.93	0.0	JDJRX
DLTZX	0.3	0.41	0.88	0.86		0.91	0.26	DLTZX
FHCOX	-0.04	0.09	0.96	0.93	0.91		-0.04	FHCOX
FPTPX	0.94	0.94	0.04	0.0	0.26	-0.04		FPTPX
	PGFCX	HIIDX	GPICX	JDJRX	DLTZX	FHCOX	FPTPX

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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

FHCOX	+ 0.96	GPICX
FPTPX	+ 0.94	PGFCX
FPTPX	+ 0.94	HIIDX
JDJRX	+ 0.93	GPICX
FHCOX	+ 0.93	JDJRX
HIIDX	+ 0.92	PGFCX

High negative correlations

FPTPX	- 0.04	FHCOX
FHCOX	- 0.04	PGFCX
FPTPX	- 0.0	JDJRX

Risk-Adjusted Indicators

There is a big difference between High Mutual Fund performing well and High Yield 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 High Yield'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
PGFCX	0.27	0.00	(0.01)	(0.01)	0.35	(0.34)	0.67	(0.39)	2.02
HIIDX	0.52	0.02	0.02	0.05	0.69	(0.54)	1.14	(0.97)	3.01
GPICX	0.03	0.01	0.00	0.46	0.00	0.00	0.10	0.00	0.21
JDJRX	0.37	0.07	0.15	1.74	0.27	(0.46)	0.98	(0.65)	2.40
DLTZX	0.08	0.01	0.04	0.44	0.00	(0.19)	0.26	(0.13)	0.64
FHCOX	0.04	0.01	0.00	(1.22)	0.00	0.00	0.10	(0.10)	0.50
FPTPX	0.31	0.00	0.00	0.00	0.49	(0.32)	0.61	(0.67)	2.15

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