Fixed Income Correlations

HCHYX Fund

USD 7.53 0.04 0.53%

The current 90-days correlation between Fixed Income and Franklin Federal Limited Term is 0.25 (i.e., Modest diversification). The correlation of Fixed Income 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.

Fixed Income Correlation With Market

Average diversification

The correlation between The Fixed Income 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 The Fixed Income and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in The Fixed Income. 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 manufacturing.

Moving together with Fixed Mutual Fund

0.94	VTSAX	Vanguard Total Stock	Pair Corr
0.93	VFIAX	Vanguard 500 Index	Pair Corr
0.94	VTSMX	Vanguard Total Stock	Pair Corr
0.93	VITSX	Vanguard Total Stock	Pair Corr
0.94	VSTSX	Vanguard Total Stock	Pair Corr
0.94	VSMPX	Vanguard Total Stock	Pair Corr
0.93	VFINX	Vanguard 500 Index	Pair Corr
0.94	VFFSX	Vanguard 500 Index	Pair Corr
0.95	VGTSX	Vanguard Total Inter	Pair Corr
0.95	VTIAX	Vanguard Total Inter	Pair Corr
0.69	NHS	Neuberger Berman High	Pair Corr
0.82	PFE	Pfizer Inc	Pair Corr
0.84	AA	Alcoa Corp	Pair Corr
0.79	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.91	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.84	IBM	International Business Earnings Call Today	Pair Corr
0.89	DIS	Walt Disney	Pair Corr
0.65	CVX	Chevron Corp	Pair Corr
0.88	CAT	Caterpillar	Pair Corr
0.88	BA	Boeing Earnings Call This Week	Pair Corr
0.92	MSFT	Microsoft Earnings Call This Week	Pair Corr

Moving against Fixed Mutual Fund

0.47

Coca Cola

Pair Corr

Related Correlations Analysis

	FTFZX	OHSHX	CIABX	LSYIX	HYSZX	TSDUX
FTFZX		0.91	0.98	0.97	0.98	0.97	FTFZX
OHSHX	0.91		0.87	0.95	0.93	0.93	OHSHX
CIABX	0.98	0.87		0.96	0.96	0.97	CIABX
LSYIX	0.97	0.95	0.96		0.99	0.98	LSYIX
HYSZX	0.98	0.93	0.96	0.99		0.97	HYSZX
TSDUX	0.97	0.93	0.97	0.98	0.97		TSDUX
	FTFZX	OHSHX	CIABX	LSYIX	HYSZX	TSDUX

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Risk-Adjusted Indicators

There is a big difference between Fixed Mutual Fund performing well and Fixed Income 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 Fixed Income'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FTFZX	0.07	0.02	(1.17)	(11.60)	(0.14)	0.20	(0.10)	0.49
OHSHX	0.13	0.05	(0.71)	(0.92)	(0.23)	0.37	(0.12)	0.98
CIABX	0.07	0.02	0.00	(2.20)	0.00	0.20	0.00	0.40
LSYIX	0.15	0.06	(0.38)	0.54	(0.23)	0.74	(0.20)	1.38
HYSZX	0.13	0.04	(0.55)	0.57	(0.22)	0.37	(0.12)	0.84
TSDUX	0.04	0.00	0.00	0.00	0.00	0.10	0.00	0.10

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