Energy Basic Correlations

Mutual Funds . USA . 
Fund . Energy Basic Materials
SBMBX Fund  USD 12.37  0.05  0.41%   
The current 90-days correlation between Energy Basic Materials and Salient Alternative Beta is 0.36 (i.e., Weak diversification). The correlation of Energy Basic 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.

Energy Basic Correlation With Market

Significant diversification

The correlation between Energy Basic Materials and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Energy Basic Materials 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 Energy Basic Materials. 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 bureau of labor statistics.

Moving together with Energy Mutual Fund

  0.68SAMAX Moderately AggressivePairCorr
  0.64SBMCX Moderate BalancedPairCorr
  0.92SEPIX Energy Basic MaterialsPairCorr
  0.73SFPAX Financial ServicesPairCorr
  0.93TRNEX T Rowe PricePairCorr
  0.69VMIAX Vanguard Materials IndexPairCorr
  0.85PRNEX T Rowe PricePairCorr
  0.81GEACX Gmo TrustPairCorr
  0.81GAAHX Gmo ResourcesPairCorr
  0.88GMOWX Gmo ResourcesPairCorr
  0.81GHAIX Global Hard AssetsPairCorr
  0.81FMFEX Materials PortfolioPairCorr
  0.82FMFAX Materials PortfolioPairCorr
  0.68FMFCX Materials PortfolioPairCorr
  0.66WHIYX Ivy High IncomePairCorr
  0.64IVHIX Ivy High IncomePairCorr
  0.64IHIFX Ivy High IncomePairCorr
  0.64WRHIX Ivy High IncomePairCorr
  0.67WHIAX Ivy High IncomePairCorr
  0.65RYWAX Sp Smallcap 600PairCorr
  0.67JHJRX John Hancock EsgPairCorr
  0.81SLASX Selected American SharesPairCorr
  0.61CGVEX American Funds GlobalPairCorr
  0.74IACIX Vy American CenturyPairCorr
  0.65VFIAX Vanguard 500 IndexPairCorr
  0.7JLHAX Retirement Living ThroughPairCorr
  0.61IMOLX Transamerica AssetPairCorr
  0.63IDXNX Voya Index SolutionPairCorr
  0.72REGTX American Funds 2040PairCorr
  0.68RBHEX American Funds 2050PairCorr
  0.66FMTIX Franklin ModeratePairCorr
  0.71PXEAX Pax Global EnvironmentalPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Energy Mutual Fund performing well and Energy Basic 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 Energy Basic'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
SABAX  0.39  0.11 (0.01)(0.72) 0.17 
(0.48)
 0.91 
(0.56)
 1.98 
SABIX  0.37  0.11  0.01 (0.76) 0.08 
(0.47)
 0.90 
(0.63)
 1.96 
SABCX  0.38  0.02 (0.03) 0.14  0.18 
(0.48)
 0.91 
(0.57)
 2.00 
SAMAX  0.35  0.10 (0.03)(0.75) 0.10 
(0.42)
 0.82 
(0.56)
 1.74 
SAMCX  0.33  0.10 (0.02)(0.78) 0.00 
(0.41)
 0.83 
(0.49)
 1.69 
SAMIX  0.34  0.03 (0.04) 0.15  0.05 
(0.45)
 0.81 
(0.54)
 1.88 
SSCCX  0.70  0.17  0.00 (2.22) 0.00 
 0.00 
 2.78 
(2.70)
 5.63 
SSCPX  0.78  0.04  0.07  0.13  0.78 
(0.91)
 1.61 
(1.42)
 4.36 
SSCYX  0.75  0.19  0.07 (1.08) 0.71 
(0.84)
 1.57 
(1.36)
 4.37 
SBCCX  0.31  0.10 (0.04)(0.83) 0.00 
(0.38)
 0.73 
(0.52)
 1.58 

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