Ultra Short Correlations

TSDUX Fund

USD 9.77 0.01 0.10%

The current 90-days correlation between Ultra Short Term and Barings Emerging Markets is 0.25 (i.e., Modest diversification). The correlation of Ultra Short 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.

Ultra Short Correlation With Market

Significant diversification

The correlation between Ultra Short Term Fixed and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Short Term Fixed 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 Ultra Short Term Fixed. 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 employment.

Moving together with Ultra Mutual Fund

0.97	PTSPX	Pimco Short Term	Pair Corr
0.97	PTSHX	Short Term Fund	Pair Corr
0.97	PSFAX	Short Term Fund	Pair Corr
0.94	PSDYX	Putnam Short Duration	Pair Corr
0.81	CSCO	Cisco Systems	Pair Corr
0.64	AXP	American Express Earnings Call This Week	Pair Corr
0.67	JPM	JPMorgan Chase	Pair Corr

Moving against Ultra Mutual Fund

0.75	VTISX	Vanguard Total Inter	Pair Corr
0.75	VTSNX	Vanguard Total Inter	Pair Corr
0.75	VTPSX	Vanguard Total Inter	Pair Corr
0.91	JNJ	Johnson Johnson Earnings Call This Week	Pair Corr
0.62	TRV	The Travelers Companies	Pair Corr
0.54	AA	Alcoa Corp	Pair Corr
0.38	VZ	Verizon Communications Earnings Call This Week	Pair Corr
0.37	GE	GE Aerospace Earnings Call This Week	Pair Corr
0.35	PG	Procter Gamble Earnings Call This Week	Pair Corr

Related Correlations Analysis

	BXECX	AMTOX	FEMDX	IGIEX	FWOKX	SEDAX	PACEX
BXECX		0.8	0.47	0.75	0.82	0.91	0.78	BXECX
AMTOX	0.8		0.26	0.42	0.79	0.73	0.43	AMTOX
FEMDX	0.47	0.26		0.66	0.19	0.47	0.6	FEMDX
IGIEX	0.75	0.42	0.66		0.62	0.84	0.87	IGIEX
FWOKX	0.82	0.79	0.19	0.62		0.86	0.58	FWOKX
SEDAX	0.91	0.73	0.47	0.84	0.86		0.77	SEDAX
PACEX	0.78	0.43	0.6	0.87	0.58	0.77		PACEX
	BXECX	AMTOX	FEMDX	IGIEX	FWOKX	SEDAX	PACEX

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Risk-Adjusted Indicators

There is a big difference between Ultra Mutual Fund performing well and Ultra Short 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 Ultra Short'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
BXECX	0.20	(0.02)	0.00	(0.30)	0.00	0.00	0.54	(0.40)	1.46
AMTOX	0.44	(0.02)	0.00	(0.07)	0.00	0.00	1.13	(0.81)	3.48
FEMDX	0.17	0.01	(0.05)	0.13	0.13	(0.23)	0.35	(0.35)	1.29
IGIEX	0.27	(0.02)	0.00	(0.21)	0.00	0.00	0.60	(0.60)	2.17
FWOKX	0.58	(0.07)	0.00	(0.15)	0.00	0.00	1.15	(1.28)	3.58
SEDAX	0.25	(0.03)	0.00	(0.54)	0.00	0.00	0.48	(0.48)	2.16
PACEX	0.13	(0.01)	(0.16)	(1.43)	0.14	(0.22)	0.33	(0.22)	0.98

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