Trillium Small/mid Correlations

TSMDX Fund

USD 14.56 0.32 2.25%

The current 90-days correlation between Trillium Smallmid Cap and Ab Impact Municipal is 0.21 (i.e., Modest diversification). The correlation of Trillium Small/mid 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.

Trillium Small/mid Correlation With Market

Poor diversification

The correlation between Trillium Smallmid Cap and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Trillium Smallmid Cap 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 Trillium Smallmid Cap. 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 unemployment.

Moving together with Trillium Mutual Fund

0.66	PORIX	Portfolio 21 Global	Pair Corr
0.67	PORTX	Portfolio 21 Global	Pair Corr
0.89	VIMAX	Vanguard Mid Cap	Pair Corr
0.89	VIMSX	Vanguard Mid Cap	Pair Corr
0.89	VMCPX	Vanguard Mid Cap	Pair Corr
0.89	VMCIX	Vanguard Mid Cap	Pair Corr
0.98	VEXAX	Vanguard Extended Market	Pair Corr
0.98	VEMPX	Vanguard Extended Market	Pair Corr
0.98	VIEIX	Vanguard Extended Market	Pair Corr
0.98	VSEMX	Vanguard Extended Market	Pair Corr
0.98	VEXMX	Vanguard Extended Market	Pair Corr
0.98	FSMAX	Fidelity Extended Market	Pair Corr

Moving against Trillium Mutual Fund

0.55	BTMPX	Ishares Msci Eafe	Pair Corr
0.55	BTMKX	Blackrock International	Pair Corr
0.55	MDIIX	Blackrock Intern Index	Pair Corr
0.99	UIPIX	Ultrashort Mid Cap	Pair Corr
0.72	MQLCX	Mfs Limited Maturity	Pair Corr
0.7	AMUSX	Us Government Securities	Pair Corr
0.68	GILHX	Guggenheim Limited	Pair Corr
0.67	FMSCX	Fidelity Advisor Mortgage	Pair Corr
0.66	VFIJX	Vanguard Gnma	Pair Corr
0.63	NECRX	Loomis Sayles E	Pair Corr
0.61	PYCWX	Payden E Bond	Pair Corr
0.58	DGQUX	Americafirst Defensive	Pair Corr
0.56	RCBDX	American Funds Porate	Pair Corr
0.47	VCRCX	Mainstay Cbre Global	Pair Corr
0.35	RROPX	American Funds Retirement	Pair Corr
0.69	ACTVX	Zero Pon 2025	Pair Corr
0.69	JBOIX	John Hancock Esg	Pair Corr
0.67	ABNDX	Bond Fund	Pair Corr
0.66	EKIZX	Wells Fargo Adjustable	Pair Corr

Related Correlations Analysis

	ABIMX	BMBSX	USGDX	BBINX	LTXFX	RGVCX	TWTIX
ABIMX		0.94	0.78	0.95	0.9	0.73	0.97	ABIMX
BMBSX	0.94		0.88	0.99	0.98	0.86	0.98	BMBSX
USGDX	0.78	0.88		0.88	0.88	0.97	0.81	USGDX
BBINX	0.95	0.99	0.88		0.99	0.87	0.98	BBINX
LTXFX	0.9	0.98	0.88	0.99		0.89	0.96	LTXFX
RGVCX	0.73	0.86	0.97	0.87	0.89		0.78	RGVCX
TWTIX	0.97	0.98	0.81	0.98	0.96	0.78		TWTIX
	ABIMX	BMBSX	USGDX	BBINX	LTXFX	RGVCX	TWTIX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between Trillium Mutual Fund performing well and Trillium Small/mid 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 Trillium Small/mid'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
ABIMX	0.23	(0.01)	0.00	(0.38)	0.00	0.00	0.51	(0.51)	1.44
BMBSX	0.11	(0.01)	0.27	(0.26)	0.15	(0.13)	0.18	(0.26)	0.71
USGDX	0.66	0.05	0.13	0.83	0.72	(0.80)	1.45	(1.37)	3.93
BBINX	0.13	(0.01)	0.24	(0.26)	0.17	(0.18)	0.29	(0.30)	0.78
LTXFX	0.10	0.00	0.32	(0.10)	0.11	(0.14)	0.26	(0.20)	0.65
RGVCX	0.24	0.03	0.29	0.88	0.20	(0.30)	0.51	(0.42)	1.38
TWTIX	0.14	(0.01)	0.00	(0.31)	0.00	0.00	0.37	(0.37)	0.94

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