Nicholas Correlations

NCTWX Fund

USD 36.78 0.37 1.00%

The current 90-days correlation between Nicholas Ii and Touchstone Sands Capital is 0.64 (i.e., Poor diversification). The correlation of Nicholas 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.

Nicholas Correlation With Market

Very poor diversification

The correlation between Nicholas Ii Inc and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nicholas Ii Inc 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 Nicholas Ii Inc. 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 housing.

Moving together with Nicholas Mutual Fund

0.67	NSEIX	Nicholas Equity Income	Pair Corr
0.98	NCLEX	Nicholas Edition	Pair Corr
0.97	NICSX	Nicholas Fund	Pair Corr
0.98	NNLEX	Nicholas Edition	Pair Corr
1.0	NNTWX	Nicholas Ii	Pair Corr
0.79	PAMCX	T Rowe Price	Pair Corr
0.77	RRMGX	T Rowe Price	Pair Corr
0.8	TRQZX	T Rowe Price	Pair Corr
0.81	RPMGX	T Rowe Price	Pair Corr
0.95	PRJIX	T Rowe Price	Pair Corr
0.98	PRNHX	T Rowe Price	Pair Corr
0.96	TRUZX	T Rowe Price	Pair Corr
0.96	PCBIX	Midcap Fund Institutional	Pair Corr
0.96	PEMGX	Midcap Fund Class	Pair Corr
0.95	PMBCX	Midcap Fund Class	Pair Corr
0.62	IVHIX	Ivy High Income	Pair Corr
0.93	FGRIX	Fidelity Growth Income	Pair Corr
0.94	ELFNX	Elfun Trusts Elfun	Pair Corr
0.88	KNPAX	Kinetics Paradigm	Pair Corr
0.81	JHEIX	Equity Income	Pair Corr
0.96	FIVUX	First Investors Oppo	Pair Corr
0.97	FZROX	Fidelity Zero Total	Pair Corr
0.97	VTSAX	Vanguard Total Stock	Pair Corr
0.96	AMGOX	Alger Mid Cap	Pair Corr
0.8	RGGEX	American Funds Global	Pair Corr
0.91	CRF	Cornerstone Strategic Sell-off Trend	Pair Corr
0.71	HIX	Western Asset High	Pair Corr
0.94	FTRNX	Fidelity Trend	Pair Corr
0.97	DFMAX	Davidson Multi Cap	Pair Corr

Moving against Nicholas Mutual Fund

0.41	LIIAX	Columbia Porate Income	Pair Corr
0.69	CIFRX	Columbia Porate Income	Pair Corr

Related Correlations Analysis

	PTSGX	ACMVX	FHIFX	HLMNX	AAGPX
PTSGX		0.77	0.41	-0.7	0.83	PTSGX
ACMVX	0.77		0.43	-0.61	0.9	ACMVX
FHIFX	0.41	0.43		0.09	0.28	FHIFX
HLMNX	-0.7	-0.61	0.09		-0.64	HLMNX
AAGPX	0.83	0.9	0.28	-0.64		AAGPX
	PTSGX	ACMVX	FHIFX	HLMNX	AAGPX

Click cells to compare fundamentals

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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

AAGPX	+ 0.9	ACMVX
AAGPX	+ 0.83	PTSGX
ACMVX	+ 0.77	PTSGX
FHIFX	+ 0.43	ACMVX
FHIFX	+ 0.41	PTSGX
AAGPX	+ 0.28	FHIFX

High negative correlations

HLMNX	- 0.7	PTSGX
AAGPX	- 0.64	HLMNX
HLMNX	- 0.61	ACMVX

Risk-Adjusted Indicators

There is a big difference between Nicholas Mutual Fund performing well and Nicholas 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 Nicholas' 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
PTSGX	0.87	0.17	0.13	0.29	0.84	(0.95)	2.04	(1.53)	5.31
ACMVX	0.51	(0.03)	(0.11)	0.04	0.46	(0.66)	0.88	(0.77)	3.23
FHIFX	0.11	(0.01)	(0.45)	(0.01)	0.08	(0.17)	0.25	(0.25)	0.73
HLMNX	0.59	(0.07)	0.00	(0.14)	0.00	0.00	1.32	(1.26)	4.12
AAGPX	0.48	(0.01)	(0.06)	0.08	0.33	(0.60)	1.03	(0.72)	3.78

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