Metropolitan West Correlations

MWCRX Fund

USD 10.38 0.01 0.1%

The current 90-days correlation between Metropolitan West and Metropolitan West Unconstrained is 0.98 (i.e., Almost no diversification). The correlation of Metropolitan West 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.

Metropolitan West Correlation With Market

Modest diversification

The correlation between Metropolitan West Unconstraine and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Metropolitan West Unconstraine and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Metropolitan West Unconstrained. 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 METROPOLITAN Mutual Fund

1.0	MWCIX	Metropolitan West	Pair Corr
1.0	MWCPX	Metropolitan West	Pair Corr
0.9	MWERX	Metwest Esg Securitized	Pair Corr
0.89	MWESX	Metwest Esg Securitized	Pair Corr
0.98	MWHIX	Metropolitan West High	Pair Corr
0.96	MWHYX	Metropolitan West High	Pair Corr
0.77	MWIIX	Metropolitan West	Pair Corr
0.93	MWIGX	Metropolitan West	Pair Corr
0.93	MWISX	Metropolitan West	Pair Corr
0.94	MWLIX	Metropolitan West Low	Pair Corr
0.97	MWLNX	Metropolitan West Low	Pair Corr
0.97	MWLDX	Metropolitan West Low	Pair Corr
0.95	MWUIX	Metropolitan West Ultra	Pair Corr
0.95	MWUSX	Metropolitan West Ultra	Pair Corr
0.97	MWSTX	Metropolitan West	Pair Corr
0.81	MWTIX	Metropolitan West Total	Pair Corr
0.79	MWTNX	Metropolitan West Total	Pair Corr
0.77	MWTTX	Metropolitan West Total	Pair Corr
0.81	MWTSX	Metropolitan West Total	Pair Corr
0.78	MWTRX	Metropolitan West Total	Pair Corr
0.99	BSIKX	Blackrock Strategic	Pair Corr
0.98	BSICX	Blackrock Strategic Opps	Pair Corr
0.98	BASIX	Blackrock Strategic Opps	Pair Corr
0.98	BSIIX	Blackrock Strategic	Pair Corr
0.96	JSORX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.94	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.93	PMZCX	Pimco Mortgage Oppor	Pair Corr
0.94	FTYPX	Fidelity Freedom Index	Pair Corr
0.94	FFBTX	Fidelity Freedom Blend	Pair Corr
0.81	GAAVX	Gmo Alternative Allo	Pair Corr
0.86	GCAVX	Gmo Small Cap	Pair Corr

Related Correlations Analysis

	MWCIX	MWCSX	MWCRX	MWCPX	MWFSX	MWERX	MWHIX	MWHYX	MWIIX	MWIGX
MWCIX		0.0	1.0	1.0	0.0	0.9	0.98	0.96	0.77	0.93	MWCIX
MWCSX	0.0		0.0	0.0	1.0	0.0	0.0	0.0	0.0	0.0	MWCSX
MWCRX	1.0	0.0		1.0	0.0	0.9	0.98	0.96	0.77	0.93	MWCRX
MWCPX	1.0	0.0	1.0		0.0	0.9	0.98	0.96	0.78	0.92	MWCPX
MWFSX	0.0	1.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	MWFSX
MWERX	0.9	0.0	0.9	0.9	0.0		0.84	0.81	0.74	0.87	MWERX
MWHIX	0.98	0.0	0.98	0.98	0.0	0.84		0.99	0.78	0.92	MWHIX
MWHYX	0.96	0.0	0.96	0.96	0.0	0.81	0.99		0.79	0.92	MWHYX
MWIIX	0.77	0.0	0.77	0.78	0.0	0.74	0.78	0.79		0.78	MWIIX
MWIGX	0.93	0.0	0.93	0.92	0.0	0.87	0.92	0.92	0.78		MWIGX
	MWCIX	MWCSX	MWCRX	MWCPX	MWFSX	MWERX	MWHIX	MWHYX	MWIIX	MWIGX

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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

MWCRX	+ 1.0	MWCIX
MWCPX	+ 1.0	MWCIX
MWFSX	+ 1.0	MWCSX
MWCPX	+ 1.0	MWCRX
MWHYX	+ 0.99	MWHIX
MWHIX	+ 0.98	MWCIX

High negative correlations

MWIGX	- 0.0	MWFSX
MWIIX	- 0.0	MWFSX
MWHYX	- 0.0	MWFSX
MWHIX	- 0.0	MWFSX
MWERX	- 0.0	MWFSX
MWFSX	- 0.0	MWCPX

Risk-Adjusted Indicators

There is a big difference between METROPOLITAN Mutual Fund performing well and Metropolitan West 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 Metropolitan West'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
MWCIX	0.15	0.03	(0.56)	0.59	0.00	(0.20)	0.30	(0.20)	0.98
MWCSX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MWCRX	0.15	0.03	(0.61)	0.61	0.00	(0.20)	0.30	(0.20)	0.98
MWCPX	0.15	0.03	(0.53)	0.68	0.00	(0.22)	0.30	(0.29)	1.27
MWFSX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MWERX	0.26	0.01	(0.32)	0.25	0.25	(0.30)	0.58	(0.47)	1.41
MWHIX	0.13	0.05	(0.40)	0.57	0.00	(0.21)	0.55	(0.11)	1.00
MWHYX	0.14	0.07	(0.33)	(1.73)	0.00	(0.22)	0.55	(0.22)	1.01
MWIIX	0.18	0.03	(0.35)	(1.09)	0.00	(0.30)	0.43	(0.42)	1.81
MWIGX	0.21	0.03	(0.35)	(2.95)	0.07	(0.28)	0.51	(0.39)	1.17

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