Royce Special Correlations

RSEIX Fund

USD 15.78 2.62 14.24%

The current 90-days correlation between Royce Special Equity and Absolute Convertible Arbitrage is 0.03 (i.e., Significant diversification). The correlation of Royce Special 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.

Royce Special Correlation With Market

Very poor diversification

The correlation between Royce Special Equity and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Special Equity 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 Royce Special Equity. 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 gross domestic product.

Moving together with Royce Mutual Fund

0.9	ROFCX	Royce Opportunity	Pair Corr
0.94	ROFIX	Royce Opportunity	Pair Corr
0.94	ROFRX	Royce Opportunity	Pair Corr
0.98	RPFIX	Royce Premier	Pair Corr
0.91	RPMIX	Royce Pennsylvania Mutual	Pair Corr
0.93	RPRCX	Royce Premier	Pair Corr
1.0	RSQCX	Royce Special Equity	Pair Corr
0.98	RTRRX	Royce Total Return	Pair Corr
0.98	RTRIX	Royce Total Return	Pair Corr
0.95	RVPIX	Royce Smaller Companies	Pair Corr
0.95	RYMCX	Royce Micro Cap	Pair Corr
0.97	RYPCX	Royce Pennsylvania Mutual	Pair Corr
0.98	RYTCX	Royce Total Return	Pair Corr
0.93	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
0.98	DFSVX	Us Small Cap	Pair Corr
0.93	DFFVX	Us Targeted Value	Pair Corr
0.91	UBVCX	Undiscovered Managers	Pair Corr
0.91	UBVAX	Undiscovered Managers	Pair Corr
0.96	UBVSX	Undiscovered Managers	Pair Corr
0.98	AVFIX	American Beacon Small	Pair Corr
0.88	KMKCX	Kinetics Market Oppo	Pair Corr
0.89	KNPAX	Kinetics Paradigm	Pair Corr
0.88	KNPCX	Kinetics Paradigm	Pair Corr
0.88	KNPYX	Kinetics Paradigm	Pair Corr
0.64	LETRX	Voya Russia Fund	Pair Corr
0.87	LSHCX	Horizon Spin Off Downward Rally	Pair Corr
0.88	WWNPX	Kinetics Paradigm	Pair Corr
0.88	LSHUX	Horizon Spin Off Downward Rally	Pair Corr
0.89	KMKAX	Kinetics Market Oppo	Pair Corr
0.89	VIGAX	Vanguard Growth Index	Pair Corr
0.93	VTSAX	Vanguard Total Stock	Pair Corr
0.88	BTCVX	Cboe Vest Bitcoin	Pair Corr

Related Correlations Analysis

	ARBOX	LCFYX	GCV	XNCVX	CCD	FSAWX
ARBOX		0.93	0.42	0.94	-0.22	0.96	ARBOX
LCFYX	0.93		0.65	0.98	-0.3	0.96	LCFYX
GCV	0.42	0.65		0.64	-0.6	0.56	GCV
XNCVX	0.94	0.98	0.64		-0.31	0.94	XNCVX
CCD	-0.22	-0.3	-0.6	-0.31		-0.36	CCD
FSAWX	0.96	0.96	0.56	0.94	-0.36		FSAWX
	ARBOX	LCFYX	GCV	XNCVX	CCD	FSAWX

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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

XNCVX	+ 0.98	LCFYX
FSAWX	+ 0.96	ARBOX
FSAWX	+ 0.96	LCFYX
XNCVX	+ 0.94	ARBOX
FSAWX	+ 0.94	XNCVX
LCFYX	+ 0.93	ARBOX

High negative correlations

CCD	- 0.6	GCV
FSAWX	- 0.36	CCD
CCD	- 0.31	XNCVX
CCD	- 0.3	LCFYX
CCD	- 0.22	ARBOX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Special 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 Royce Special'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
ARBOX	0.04	0.02	0.00	3.38	0.00	0.00	0.09	0.00	0.26
LCFYX	0.39	0.10	0.09	0.34	0.00	(0.49)	1.01	(0.69)	2.80
GCV	0.84	(0.05)	0.00	(0.05)	0.00	0.00	1.52	(1.80)	4.04
XNCVX	0.46	0.14	0.07	0.85	0.15	(0.63)	1.08	(0.80)	2.41
CCD	0.74	0.00	(0.07)	0.11	0.89	(0.78)	1.88	(1.68)	4.88
FSAWX	0.08	0.03	(0.76)	3.91	0.00	(0.14)	0.19	(0.09)	0.46

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