Transportation Portfolio Correlations

FSRFX Fund

USD 120.21 0.31 0.26%

The current 90-days correlation between Transportation Portfolio and T Rowe Price is 0.75 (i.e., Poor diversification). The correlation of Transportation Portfolio 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.

Transportation Portfolio Correlation With Market

Poor diversification

The correlation between Transportation Portfolio Trans and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Transportation Portfolio Trans and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Transportation Portfolio Transportation. 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 census.

Moving together with Transportation Mutual Fund

0.78	B	Barnes Group	Pair Corr
0.78	G	Genpact Limited	Pair Corr
0.78	J	Jacobs Solutions	Pair Corr
0.94	R	Ryder System	Pair Corr
0.83	AL	Air Lease	Pair Corr
0.9	AZ	A2Z Smart Technologies	Pair Corr
0.62	BE	Bloom Energy Corp	Pair Corr
0.87	BR	Broadridge Financial	Pair Corr
0.76	BV	BrightView Holdings	Pair Corr
0.89	CR	Crane Company	Pair Corr
0.92	CW	Curtiss Wright	Pair Corr
0.62	DE	Deere Company	Pair Corr
0.87	IR	Ingersoll Rand	Pair Corr
0.76	KC	Kingsoft Cloud Holdings Tech Boost	Pair Corr
0.85	LZ	LegalZoom	Pair Corr
0.84	NL	NL Industries	Pair Corr
0.83	NX	Quanex Building Products Fiscal Year End 12th of December 2024	Pair Corr
0.94	OC	Owens Corning	Pair Corr
0.95	PH	Parker Hannifin	Pair Corr
0.71	PL	Planet Labs PBC Earnings Call This Week	Pair Corr
0.89	SQ	Block Inc Sell-off Trend	Pair Corr
0.87	TT	Trane Technologies plc	Pair Corr

Moving against Transportation Mutual Fund

0.77	CP	Canadian Pacific Railway	Pair Corr
0.7	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.58	MG	Mistras Group	Pair Corr
0.38	GP	GreenPower Motor	Pair Corr
0.35	HY	Hyster Yale Materials	Pair Corr
0.86	VCIG	VCI Global Limited Trending	Pair Corr
0.74	CODI-PA	Compass Diversified	Pair Corr
0.73	RR	Richtech Robotics Class	Pair Corr
0.68	SB	Safe Bulkers	Pair Corr
0.66	ST	Sensata Technologies	Pair Corr
0.65	DLHC	DLH Holdings Corp Earnings Call This Week	Pair Corr
0.58	CODI-PB	Compass Diversified	Pair Corr
0.34	CODI-PC	Compass Diversified	Pair Corr

Related Correlations Analysis

	PRISX	444859BR2	AQUI	BRRAY	LBHIX	MSTSX	ABHYX	SCAXF	VIASP	AAEVX
PRISX		-0.66	0.0	-0.03	0.55	0.48	-0.14	-0.72	0.72	0.86	PRISX
444859BR2	-0.66		0.0	0.31	-0.54	-0.45	-0.03	0.46	-0.46	-0.65	444859BR2
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.03	0.31	0.0		-0.35	-0.45	-0.37	-0.06	0.12	-0.28	BRRAY
LBHIX	0.55	-0.54	0.0	-0.35		0.68	0.56	-0.35	0.26	0.73	LBHIX
MSTSX	0.48	-0.45	0.0	-0.45	0.68		0.27	-0.04	-0.05	0.81	MSTSX
ABHYX	-0.14	-0.03	0.0	-0.37	0.56	0.27		-0.1	-0.12	0.1	ABHYX
SCAXF	-0.72	0.46	0.0	-0.06	-0.35	-0.04	-0.1		-0.82	-0.5	SCAXF
VIASP	0.72	-0.46	0.0	0.12	0.26	-0.05	-0.12	-0.82		0.47	VIASP
AAEVX	0.86	-0.65	0.0	-0.28	0.73	0.81	0.1	-0.5	0.47		AAEVX
	PRISX	444859BR2	AQUI	BRRAY	LBHIX	MSTSX	ABHYX	SCAXF	VIASP	AAEVX

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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

AAEVX	+ 0.86	PRISX
AAEVX	+ 0.81	MSTSX
AAEVX	+ 0.73	LBHIX
VIASP	+ 0.72	PRISX
MSTSX	+ 0.68	LBHIX
ABHYX	+ 0.56	LBHIX

High negative correlations

VIASP	- 0.82	SCAXF
SCAXF	- 0.72	PRISX
444859BR2	- 0.66	PRISX
AAEVX	- 0.65	444859BR2
LBHIX	- 0.54	444859BR2
AAEVX	- 0.5	SCAXF

Risk-Adjusted Indicators

There is a big difference between Transportation Mutual Fund performing well and Transportation Portfolio 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 Transportation Portfolio'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
PRISX	0.80	0.08	0.15	0.18	0.52	(0.99)	1.68	(1.29)	8.41
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.10)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.22)	(0.11)	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.37)	0.00	(33.24)	0.00	0.00	0.00	0.00	23.47
VIASP	0.75	0.08	(0.03)	(1.87)	1.12	(0.82)	2.28	(1.20)	7.18
AAEVX	0.49	(0.02)	(0.09)	0.08	0.53	(0.59)	0.93	(0.77)	2.76

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