Money Market Correlations

PCVXX Fund   1.00  0.00  0.00%   
The current 90-days correlation between Money Market Obligations and Vanguard 500 Index is 0.05 (i.e., Significant diversification). The correlation of Money Market 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.

Money Market Correlation With Market

Good diversification

The correlation between Money Market Obligations and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Money Market Obligations and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Money Market Obligations. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with Money Money Market Fund

  0.68VTSAX Vanguard Total StockPairCorr
  0.7VFIAX Vanguard 500 IndexPairCorr
  0.68VTSMX Vanguard Total StockPairCorr
  0.68VITSX Vanguard Total StockPairCorr
  0.68VSTSX Vanguard Total StockPairCorr
  0.68VSMPX Vanguard Total StockPairCorr
  0.7VFINX Vanguard 500 IndexPairCorr
  0.7VFFSX Vanguard 500 IndexPairCorr
  0.68FTCAX Templeton Strained BondPairCorr
  0.78PYAIX Payden Absolute ReturnPairCorr
  0.75PYARX Payden Absolute ReturnPairCorr
  0.74BCAAX Brandywineglobal CPairCorr
  0.61JPM JPMorgan Chase Fiscal Year End 10th of January 2025 PairCorr
  0.73CVX Chevron Corp Fiscal Year End 7th of February 2025 PairCorr
  0.78CAT Caterpillar Fiscal Year End 3rd of February 2025 PairCorr
  0.61BAC Bank of America Fiscal Year End 10th of January 2025 PairCorr
  0.76XOM Exxon Mobil Corp Fiscal Year End 7th of February 2025 PairCorr
  0.72HD Home DepotPairCorr
  0.71HPQ HP IncPairCorr

Moving against Money Money Market Fund

  0.7USPSX Profunds UltrashortPairCorr
  0.7USPIX Profunds UltrashortPairCorr
  0.62UIPIX Ultrashort Mid CapPairCorr
  0.77MRK Merck Company Fiscal Year End 6th of February 2025 PairCorr
  0.63KO Coca Cola Fiscal Year End 11th of February 2025 PairCorr
  0.51PFE Pfizer Inc Fiscal Year End 4th of February 2025 PairCorr
  0.34PG Procter GamblePairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Money Money Market Fund performing well and Money Market Money Market 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 Money Market'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
VFINX  0.50  0.05  0.03  0.19  0.50 
 1.17 
 3.84 
MSTSX  0.47 (0.02)(0.12) 0.10  0.43 
 1.21 
 2.80 
ID  3.79  1.12  0.20  2.65  3.96 
 7.89 
 20.54 
OGEAX  0.50  0.05  0.03  0.19  0.50 
 1.17 
 3.83 
KNF  1.48  0.29  0.17  0.29  1.68 
 2.77 
 12.78 
KMX  1.45 (0.06)(0.01) 0.08  1.66 
 4.14 
 8.69 
SEIC  0.81  0.24  0.23  0.42  0.51 
 1.57 
 7.23 
GSHD  1.63  0.45  0.29  0.71  1.01 
 4.55 
 15.06 
EMBC  2.61  0.22  0.11  0.25  2.63 
 4.23 
 32.94 
KOP  1.55 (0.27) 0.00 (0.02) 0.00 
 2.07 
 14.45