Duff Correlations

DPG Fund

USD 13.17 0.07 0.53%

The current 90-days correlation between Duff And Phelps and Gabelli Utility Closed is 0.03 (i.e., Significant diversification). The correlation of Duff 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.

Duff Correlation With Market

Significant diversification

The correlation between Duff And Phelps and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Duff And Phelps and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Duff And Phelps. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Duff Fund

0.66	OGIAX	Jpmorgan Investor	Pair Corr
0.88	FKUTX	Franklin Utilities	Pair Corr
0.66	FTGWX	Salient Tactical Growth	Pair Corr
0.62	TIOVX	Tiaa Cref International	Pair Corr
0.69	SCORX	Sextant E Fund	Pair Corr
0.76	DAMDX	Dunham Monthly Distr	Pair Corr
0.61	TEDMX	Templeton Developing	Pair Corr
0.69	GIOSX	Guggenheim Macro Opp	Pair Corr
0.66	MTBDX	Mainstay Mackay Tax	Pair Corr
0.63	DLSNX	Doubleline Low Duration	Pair Corr

Moving against Duff Fund

0.77	HIO	Western Asset High	Pair Corr
0.41	FFRDX	Franklin Floating Rate	Pair Corr
0.31	PTY	Pimco Corporate Income	Pair Corr

Related Correlations Analysis

	OISGX	SPPP	GUT	BMEZ	NML	TGDVX	NMIAX	OMAH	BUI	PRCNX
OISGX		0.49	0.47	0.62	-0.29	0.8	0.7	0.33	-0.36	0.62	OISGX
SPPP	0.49		0.58	0.85	-0.43	0.71	0.75	0.06	-0.03	0.7	SPPP
GUT	0.47	0.58		0.55	0.01	0.74	0.76	0.35	-0.33	0.5	GUT
BMEZ	0.62	0.85	0.55		-0.54	0.76	0.84	0.27	0.02	0.77	BMEZ
NML	-0.29	-0.43	0.01	-0.54		-0.28	-0.27	0.43	-0.07	-0.3	NML
TGDVX	0.8	0.71	0.74	0.76	-0.28		0.89	0.37	-0.38	0.72	TGDVX
NMIAX	0.7	0.75	0.76	0.84	-0.27	0.89		0.43	-0.26	0.82	NMIAX
OMAH	0.33	0.06	0.35	0.27	0.43	0.37	0.43		-0.1	0.4	OMAH
BUI	-0.36	-0.03	-0.33	0.02	-0.07	-0.38	-0.26	-0.1		-0.13	BUI
PRCNX	0.62	0.7	0.5	0.77	-0.3	0.72	0.82	0.4	-0.13		PRCNX
	OISGX	SPPP	GUT	BMEZ	NML	TGDVX	NMIAX	OMAH	BUI	PRCNX

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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

NMIAX	+ 0.89	TGDVX
BMEZ	+ 0.85	SPPP
NMIAX	+ 0.84	BMEZ
PRCNX	+ 0.82	NMIAX
TGDVX	+ 0.8	OISGX
PRCNX	+ 0.77	BMEZ

High negative correlations

NML	- 0.54	BMEZ
NML	- 0.43	SPPP
BUI	- 0.38	TGDVX
BUI	- 0.36	OISGX
BUI	- 0.33	GUT
PRCNX	- 0.3	NML

Risk-Adjusted Indicators

There is a big difference between Duff Fund performing well and Duff 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 Duff'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
OISGX	0.92	0.07	(0.01)	(0.15)	1.18	(1.01)	1.88	(1.70)	6.36
SPPP	1.72	0.20	0.06	0.66	2.57	(1.68)	2.96	(2.56)	14.90
GUT	0.69	0.00	(0.04)	0.07	0.78	(0.73)	1.53	(1.34)	3.74
BMEZ	0.63	0.05	0.04	0.15	0.61	(0.67)	1.58	(1.05)	3.55
NML	0.71	(0.02)	(0.04)	0.03	1.08	(0.72)	1.20	(1.58)	5.07
TGDVX	0.52	0.11	0.05	(0.59)	0.59	(0.59)	1.29	(0.74)	3.96
NMIAX	0.52	(0.01)	(0.01)	0.06	0.71	(0.53)	1.33	(1.22)	4.36
OMAH	0.39	(0.02)	(0.09)	0.03	0.52	(0.40)	1.01	(0.68)	2.86
BUI	0.61	(0.04)	0.00	(0.02)	0.00	0.00	1.36	(1.12)	5.71
PRCNX	0.54	(0.01)	(0.04)	0.05	0.65	(0.55)	0.85	(1.00)	3.50

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