Tiaa-cref Large-cap Correlations

TRLCX Fund

USD 24.37 0.05 0.21%

The current 90-days correlation between Tiaa-cref Large-cap and Tiaa Cref Mid Cap Value is 0.02 (i.e., Significant diversification). The correlation of Tiaa-cref Large-cap 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.

Tiaa-cref Large-cap Correlation With Market

Almost no diversification

The correlation between Tiaa Cref Large Cap Value and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa Cref Large Cap Value and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Tiaa Cref Large Cap Value. 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 main economic indicators.

Moving together with Tiaa-cref Mutual Fund

0.82	TEIHX	Tiaa Cref Equity	Pair Corr
0.82	TEQWX	Tiaa Cref Equity	Pair Corr
0.81	TEWCX	Tiaa Cref Social	Pair Corr
0.72	TFITX	Tiaa Cref Lifecycle	Pair Corr
0.72	TFIRX	Tiaa Cref Lifecycle	Pair Corr
0.72	TFIPX	Tiaa Cref Lifecycle	Pair Corr
0.72	TFIHX	Tiaa Cref Lifecycle	Pair Corr
0.87	TFTIX	Tiaa Cref Lifecycle	Pair Corr
0.72	TFTHX	Tiaa Cref Lifecycle	Pair Corr
0.81	TGIHX	Tiaa Cref Growth	Pair Corr
0.82	TGIWX	Tiaa Cref Growth	Pair Corr
0.82	THCVX	Tiaa-cref Large-cap	Pair Corr

Moving against Tiaa-cref Mutual Fund

0.6	TGRNX	Tiaa Cref Green	Pair Corr
0.59	TGRLX	Tiaa Cref Green	Pair Corr
0.58	TGRKX	Tiaa Cref Green	Pair Corr
0.58	TGROX	Tiaa Cref Green	Pair Corr
0.54	TESHX	Tiaa-cref Short-term	Pair Corr
0.65	TIBHX	Tiaa Cref Bond	Pair Corr
0.65	TIDRX	Tiaa Cref Bond	Pair Corr
0.64	TIBDX	Tiaa Cref Bond	Pair Corr
0.64	TIBFX	Tiaa Cref Bond	Pair Corr
0.64	TIDPX	Tiaa Cref Bond	Pair Corr
0.57	TGRMX	Tiaa Cref Green	Pair Corr

Related Correlations Analysis

	TRVRX	TRERX	TRGMX	TRSEX	TRRSX
TRVRX		-0.61	0.88	0.87	0.08	TRVRX
TRERX	-0.61		-0.62	-0.54	0.09	TRERX
TRGMX	0.88	-0.62		0.97	0.07	TRGMX
TRSEX	0.87	-0.54	0.97		0.06	TRSEX
TRRSX	0.08	0.09	0.07	0.06		TRRSX
	TRVRX	TRERX	TRGMX	TRSEX	TRRSX

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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

TRSEX	+ 0.97	TRGMX
TRGMX	+ 0.88	TRVRX
TRSEX	+ 0.87	TRVRX
TRRSX	+ 0.09	TRERX
TRRSX	+ 0.08	TRVRX
TRRSX	+ 0.07	TRGMX

High negative correlations

TRGMX	- 0.62	TRERX
TRERX	- 0.61	TRVRX
TRSEX	- 0.54	TRERX

Risk-Adjusted Indicators

There is a big difference between Tiaa-cref Mutual Fund performing well and Tiaa-cref Large-cap 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 Tiaa-cref Large-cap'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
TRVRX	0.61	0.14	0.02	7.59	0.40	(0.76)	1.28	(0.81)	4.44
TRERX	0.65	(0.08)	0.00	(4.47)	0.00	0.00	0.89	(1.37)	4.47
TRGMX	0.72	0.02	0.03	0.15	0.89	(0.76)	1.91	(1.69)	4.93
TRSEX	0.90	(0.03)	0.03	0.11	0.89	(1.04)	2.03	(1.69)	7.56
TRRSX	0.70	0.04	(0.09)	1.02	0.81	(0.76)	1.24	(1.34)	3.58

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