Massmutual Select Correlations

MBCNX Fund

USD 16.40 0.02 0.12%

The correlation of Massmutual Select 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.

Massmutual Select Correlation With Market

Weak diversification

The correlation between Massmutual Select Blue and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Blue and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Massmutual Select Blue. 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 board of governors.

Moving against Massmutual Mutual Fund

0.56	MMIUX	Massmutual Select	Pair Corr
0.41	MMIAX	Massmutual Premier	Pair Corr

Related Correlations Analysis

	MSSAX	MBCLX	MBCNX	MSTDX	MSTLX	MBAYX	MBBIX	MBCSX	MBCYX
MSSAX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	MSSAX
MBCLX	0.0		0.96	0.26	0.13	0.45	0.45	1.0	1.0	MBCLX
MBCNX	0.0	0.96		0.05	-0.05	0.21	0.22	0.94	0.94	MBCNX
MSTDX	0.0	0.26	0.05		0.85	0.73	0.73	0.3	0.29	MSTDX
MSTLX	0.0	0.13	-0.05	0.85		0.66	0.66	0.17	0.15	MSTLX
MBAYX	0.0	0.45	0.21	0.73	0.66		1.0	0.49	0.47	MBAYX
MBBIX	0.0	0.45	0.22	0.73	0.66	1.0		0.49	0.48	MBBIX
MBCSX	0.0	1.0	0.94	0.3	0.17	0.49	0.49		1.0	MBCSX
MBCYX	0.0	1.0	0.94	0.29	0.15	0.47	0.48	1.0		MBCYX
	MSSAX	MBCLX	MBCNX	MSTDX	MSTLX	MBAYX	MBBIX	MBCSX	MBCYX

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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

MBCSX	+ 1.0	MBCLX
MBCYX	+ 1.0	MBCLX
MBBIX	+ 1.0	MBAYX
MBCYX	+ 1.0	MBCSX
MBCNX	+ 0.96	MBCLX
MBCSX	+ 0.94	MBCNX

High negative correlations

MSTLX	- 0.05	MBCNX
MBCYX	- 0.0	MSSAX
MBCSX	- 0.0	MSSAX
MBBIX	- 0.0	MSSAX
MBAYX	- 0.0	MSSAX
MSTLX	- 0.0	MSSAX

Risk-Adjusted Indicators

There is a big difference between Massmutual Mutual Fund performing well and Massmutual Select 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 Massmutual Select'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
MSSAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MBCLX	0.84	(0.03)	(0.01)	0.08	2.49	(0.72)	1.62	(1.51)	14.04
MBCNX	0.91	(0.09)	(0.03)	0.01	3.36	(0.76)	1.60	(1.51)	17.93
MSTDX	0.09	0.01	(0.79)	0.65	0.00	(0.16)	0.22	(0.11)	0.65
MSTLX	0.09	0.00	(0.79)	(0.17)	0.00	(0.15)	0.22	(0.11)	0.55
MBAYX	0.34	0.00	(0.14)	0.12	0.26	(0.42)	0.79	(0.57)	1.96
MBBIX	0.33	0.01	(0.13)	0.13	0.28	(0.39)	0.78	(0.60)	1.88
MBCSX	0.83	(0.02)	(0.01)	0.10	2.24	(0.72)	1.60	(1.51)	13.38
MBCYX	0.83	(0.02)	(0.01)	0.09	2.37	(0.74)	1.60	(1.54)	13.60

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