Multifactor Correlations

Mutual Funds . USA . 
Fund . Multifactor Equity Fund
RTDCX Fund  USD 13.44  0.02  0.15%   
The current 90-days correlation between Multifactor Equity and International Developed Markets is 0.83 (i.e., Very poor diversification). The correlation of Multifactor 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.

Multifactor Correlation With Market

Good diversification

The correlation between Multifactor Equity Fund and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Multifactor Equity 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 unemployment.

Moving together with Multifactor Mutual Fund

  0.98RNTTX International DevelopedPairCorr
  0.94RALAX Growth StrategyPairCorr
  0.94RALCX Growth StrategyPairCorr
  0.94RALSX Growth StrategyPairCorr
  0.94RALRX Growth StrategyPairCorr
  0.94RALVX Growth StrategyPairCorr
  0.85RSBTX Short Duration BondPairCorr
  0.86RSBYX Short Duration BondPairCorr
  0.94RSCRX Us Small CapPairCorr
  0.87RSBCX Short Duration BondPairCorr
  0.99RSECX Us Strategic EquityPairCorr
  0.99RSEAX Us Strategic EquityPairCorr
  0.99RSESX Us Strategic EquityPairCorr
  0.85RSDTX Short Duration BondPairCorr
  0.92RAZAX Multi Asset GrowthPairCorr
  0.92RAZCX Multi Asset GrowthPairCorr
  0.99RSQAX Us E EquityPairCorr
  0.78RBCUX Tax Exempt BondPairCorr
  0.93RBLCX Balanced StrategyPairCorr
  0.93RBLAX Balanced StrategyPairCorr
  0.93RBLSX Balanced StrategyPairCorr
  0.93RBLVX Balanced StrategyPairCorr
  0.93RBLRX Balanced StrategyPairCorr
  1.0RTDAX Multifactor EquityPairCorr
  1.0RTDYX Select EquityPairCorr
  1.0RTDSX Select EquityPairCorr
  1.0RTDRX Select EquityPairCorr
  1.0RTDTX Select EquityPairCorr
  0.75RTEAX Tax Exempt BondPairCorr
  0.7RTECX Tax Exempt BondPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Multifactor Mutual Fund performing well and Multifactor 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 Multifactor'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
RNTTX  0.56  0.15  0.19  0.37  0.20 
(0.72)
 1.07 
(1.05)
 6.71 
RREAX  0.41  0.02 (0.05) 0.15  0.58 
(0.43)
 0.86 
(1.06)
 2.98 
RREYX  0.42  0.03 (0.04) 0.17  0.57 
(0.43)
 0.83 
(1.05)
 3.00 
RRESX  0.41  0.03 (0.04) 0.17  0.57 
(0.42)
 0.84 
(1.05)
 3.00 
RRSCX  0.41  0.02 (0.05) 0.16  0.60 
(0.42)
 0.84 
(1.05)
 3.01 
RRSRX  0.41  0.03 (0.04) 0.17  0.56 
(0.42)
 0.84 
(1.05)
 3.03 
RALAX  0.58  0.17  0.27  0.33  0.00 
(0.75)
 0.96 
(0.78)
 11.71 
RALCX  0.60  0.19  0.30  0.35  0.00 
(0.82)
 0.96 
(0.77)
 13.01 
RALSX  0.58  0.17  0.25  0.33  0.00 
(0.74)
 0.93 
(0.83)
 11.47 
RALRX  0.57  0.17  0.25  0.33  0.00 
(0.77)
 0.94 
(0.75)
 11.35 

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