Royce Total Correlations

RTRRX Fund

USD 9.05 0.02 0.22%

The correlation of Royce Total 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 Total Correlation With Market

Average diversification

The correlation between Royce Total Return and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Total Return 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 Total Return. 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 metropolitan statistical area.

Moving together with Royce Mutual Fund

0.98	ROFCX	Royce Opportunity	Pair Corr
0.95	ROFIX	Royce Opportunity	Pair Corr
0.95	ROFRX	Royce Opportunity	Pair Corr
0.93	RPFIX	Royce Premier	Pair Corr
0.97	RPMIX	Royce Pennsylvania Mutual	Pair Corr
0.98	RPRCX	Royce Premier	Pair Corr
0.94	RSEIX	Royce Special Equity	Pair Corr
0.93	RSQCX	Royce Special Equity	Pair Corr
1.0	RTRIX	Royce Total Return	Pair Corr
0.95	RVPIX	Royce Smaller Companies	Pair Corr
0.95	RYMCX	Royce Micro Cap	Pair Corr
0.92	RYPCX	Royce Pennsylvania Mutual	Pair Corr
0.97	RYTCX	Royce Total Return	Pair Corr
0.99	VSIIX	Vanguard Small Cap	Pair Corr
0.95	VISVX	Vanguard Small Cap	Pair Corr
0.95	DFSVX	Us Small Cap	Pair Corr
0.96	DFFVX	Us Targeted Value	Pair Corr
0.98	UBVCX	Undiscovered Managers	Pair Corr
0.99	UBVAX	Undiscovered Managers	Pair Corr
0.95	UBVSX	Undiscovered Managers	Pair Corr
0.95	AVFIX	American Beacon Small	Pair Corr
0.92	KMKCX	Kinetics Market Oppo	Pair Corr
0.93	KNPAX	Kinetics Paradigm	Pair Corr
0.91	KNPCX	Kinetics Paradigm	Pair Corr
0.91	KNPYX	Kinetics Paradigm	Pair Corr
0.9	LSHCX	Horizon Spin Off	Pair Corr
0.91	WWNPX	Kinetics Paradigm	Pair Corr
0.92	LSHUX	Horizon Spin Off	Pair Corr
0.92	KMKAX	Kinetics Market Oppo	Pair Corr
0.93	VIGAX	Vanguard Growth Index	Pair Corr
0.95	VTSAX	Vanguard Total Stock	Pair Corr
0.72	FSUTX	Utilities Portfolio	Pair Corr

Related Correlations Analysis

	RESNX	ROFCX	ROHHX	ROFIX	ROFKX	ROFRX	ROIMX	ROHKX	ROHRX
RESNX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	RESNX
ROFCX	0.0		0.0	0.96	0.0	0.96	0.0	0.0	0.0	ROFCX
ROHHX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	ROHHX
ROFIX	0.0	0.96	0.0		0.0	1.0	0.0	0.0	0.0	ROFIX
ROFKX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	ROFKX
ROFRX	0.0	0.96	0.0	1.0	0.0		0.0	0.0	0.0	ROFRX
ROIMX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	ROIMX
ROHKX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	ROHKX
ROHRX	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		ROHRX
	RESNX	ROFCX	ROHHX	ROFIX	ROFKX	ROFRX	ROIMX	ROHKX	ROHRX

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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

ROFRX	+ 1.0	ROFIX
ROFIX	+ 0.96	ROFCX
ROFRX	+ 0.96	ROFCX
ROFCX	+ 0.0	RESNX
ROHHX	+ 0.0	RESNX
ROFIX	+ 0.0	RESNX

High negative correlations

ROHRX	- 0.0	ROHKX
ROHRX	- 0.0	ROIMX
ROHKX	- 0.0	ROIMX
ROHRX	- 0.0	ROFRX
ROHKX	- 0.0	ROFRX
ROIMX	- 0.0	ROFRX

Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Total 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 Total'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
RESNX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ROFCX	0.94	0.20	0.13	0.97	0.69	(1.20)	2.39	(1.53)	7.49
ROHHX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ROFIX	0.94	0.06	0.13	0.15	0.69	(1.17)	2.29	(1.56)	7.44
ROFKX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ROFRX	0.93	0.06	0.13	0.15	0.70	(1.16)	2.34	(1.54)	7.47
ROIMX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ROHKX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ROHRX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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