Royce Total Correlations

RYTRX Fund

USD 8.58 0.02 0.23%

The current 90-days correlation between Royce Total Return and Old Westbury Municipal is -0.28 (i.e., Very good diversification). 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

Very poor diversification

The correlation between Royce Total Return 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 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

0.97	RPFFX	Royce Premier	Pair Corr
0.97	RSEFX	Royce Special Equity	Pair Corr
0.96	RVPHX	Royce Smaller Companies	Pair Corr
0.95	RVVHX	Royce Small Cap	Pair Corr
0.95	RYDVX	Royce Dividend Value	Pair Corr
0.97	RYOFX	Royce Opportunity	Pair Corr
0.97	RYOTX	Royce Micro Cap	Pair Corr
0.96	RYPFX	Royce Pennsylvania Mutual	Pair Corr
0.97	RYPRX	Royce Premier	Pair Corr
0.97	RYSEX	Royce Special Equity	Pair Corr
1.0	RYTFX	Royce Total Return	Pair Corr
0.95	RYVFX	Royce Small Cap	Pair Corr
0.96	RYVPX	Royce Smaller Companies	Pair Corr
0.98	VSIIX	Vanguard Small Cap	Pair Corr
0.98	VISVX	Vanguard Small Cap	Pair Corr
0.99	DFSVX	Us Small Cap	Pair Corr
0.99	DFFVX	Us Targeted Value	Pair Corr
0.98	UBVCX	Undiscovered Managers	Pair Corr
0.98	UBVAX	Undiscovered Managers	Pair Corr
0.98	UBVSX	Undiscovered Managers	Pair Corr
0.99	AVFIX	American Beacon Small	Pair Corr
0.69	FSMMX	Fs Multi Strategy	Pair Corr
0.91	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.91	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.91	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.91	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.91	AMEIX	Equity Growth	Pair Corr
0.94	DFMAX	Davidson Multi Cap	Pair Corr
0.96	AMGIX	Income Growth	Pair Corr
0.9	VFIAX	Vanguard 500 Index	Pair Corr
0.89	MLMAX	Global E Portfolio	Pair Corr

Moving against Royce Mutual Fund

0.65	BTMPX	Ishares Msci Eafe	Pair Corr
0.65	BTMKX	Blackrock International	Pair Corr
0.65	MDIIX	Blackrock Intern Index	Pair Corr

Related Correlations Analysis

	OWMBX	ABIMX	BIDPX	FYMNX	OKMUX	OMIAX
OWMBX		0.91	0.92	0.77	0.96	0.93	OWMBX
ABIMX	0.91		0.99	0.95	0.94	0.97	ABIMX
BIDPX	0.92	0.99		0.95	0.96	0.98	BIDPX
FYMNX	0.77	0.95	0.95		0.85	0.92	FYMNX
OKMUX	0.96	0.94	0.96	0.85		0.93	OKMUX
OMIAX	0.93	0.97	0.98	0.92	0.93		OMIAX
	OWMBX	ABIMX	BIDPX	FYMNX	OKMUX	OMIAX

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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
OWMBX	0.10	0.00	(0.49)	0.18	0.15	(0.16)	0.26	(0.26)	0.87
ABIMX	0.18	0.02	(0.23)	(0.09)	0.27	(0.24)	0.40	(0.50)	1.73
BIDPX	0.15	0.02	(0.30)	(0.07)	0.21	(0.18)	0.27	(0.45)	1.36
FYMNX	0.13	0.02	(0.30)	(0.09)	0.17	(0.20)	0.37	(0.28)	1.39
OKMUX	0.15	0.01	(0.23)	0.00	0.23	(0.27)	0.29	(0.47)	1.52
OMIAX	0.14	0.01	(0.34)	(0.02)	0.20	(0.20)	0.29	(0.29)	1.35

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