Great-west Correlations

MXMDX Fund

USD 23.12 0.08 0.34%

The current 90-days correlation between Great West Sp and Forum Real Estate is 0.07 (i.e., Significant diversification). The correlation of Great-west 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.

Great-west Correlation With Market

Very poor diversification

The correlation between Great West Sp Mid and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great West Sp Mid 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 Great West Sp Mid. 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 Great-west Mutual Fund

0.82	SFBPX	Great-west Securefoundation	Pair Corr
1.0	MXBUX	Great West Sp	Pair Corr
0.98	MXEBX	Great-west Core	Pair Corr
0.98	MXERX	Great West Sp	Pair Corr
0.98	MXEQX	Great West T	Pair Corr
0.93	MXGSX	Great-west Multi-manager	Pair Corr
0.79	MXGTX	Great West Aggressive	Pair Corr

Moving against Great-west Mutual Fund

0.67	MXCOX	Great West Bond	Pair Corr
0.72	MXGBX	Great West Templeton	Pair Corr
0.69	MXGMX	Great West Government	Pair Corr
0.68	MXBIX	Great West Bond	Pair Corr
0.68	MXDQX	Great West Government	Pair Corr
0.56	MXEDX	Great-west Core	Pair Corr
0.55	MXECX	Great-west Core	Pair Corr
0.48	MXEGX	Great-west Core	Pair Corr
0.68	MXFDX	Great-west Core	Pair Corr
0.67	MXIUX	Great-west Core	Pair Corr
0.59	MXINX	Great-west International	Pair Corr
0.53	MXIVX	Great West Mfs	Pair Corr
0.4	MXIHX	Great-west Inflation-protec	Pair Corr
0.37	MXIOX	Great-west Inflation-protec	Pair Corr

Related Correlations Analysis

	FORFX	CNREX	GURPX	PNDIX	JYEBX	PRKAX	MRESX
FORFX		0.24	0.23	0.99	0.6	0.17	-0.04	FORFX
CNREX	0.24		0.73	0.17	0.65	0.9	0.75	CNREX
GURPX	0.23	0.73		0.15	0.9	0.7	0.93	GURPX
PNDIX	0.99	0.17	0.15		0.54	0.12	-0.11	PNDIX
JYEBX	0.6	0.65	0.9	0.54		0.58	0.71	JYEBX
PRKAX	0.17	0.9	0.7	0.12	0.58		0.79	PRKAX
MRESX	-0.04	0.75	0.93	-0.11	0.71	0.79		MRESX
	FORFX	CNREX	GURPX	PNDIX	JYEBX	PRKAX	MRESX

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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

PNDIX	+ 0.99	FORFX
MRESX	+ 0.93	GURPX
PRKAX	+ 0.9	CNREX
JYEBX	+ 0.9	GURPX
MRESX	+ 0.79	PRKAX
MRESX	+ 0.75	CNREX

High negative correlations

MRESX	- 0.11	PNDIX
MRESX	- 0.04	FORFX

Risk-Adjusted Indicators

There is a big difference between Great-west Mutual Fund performing well and Great-west 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 Great-west'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
FORFX	0.06	0.02	0.00	1.10	0.00	0.00	0.11	0.00	0.93
CNREX	0.61	0.03	(0.07)	0.21	0.76	(0.63)	1.22	(1.53)	3.86
GURPX	0.60	0.03	(0.10)	0.31	0.65	(0.69)	1.24	(1.10)	3.21
PNDIX	0.05	0.01	0.00	2.88	0.00	0.00	0.10	0.00	0.70
JYEBX	0.66	0.06	(0.04)	0.35	0.75	(0.69)	1.22	(1.15)	3.51
PRKAX	0.54	0.04	(0.09)	0.37	0.55	(0.64)	1.00	(1.24)	2.80
MRESX	0.68	0.05	(0.08)	0.78	0.78	(0.73)	1.26	(1.33)	3.43

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