Great West Correlations

Mutual Funds . USA . 
Fund . Great West Mfs International
MXHTX Fund  USD 10.16  0.03  0.30%   
The current 90-days correlation between Great West Mfs and Great West Securefoundation Balanced is 0.78 (i.e., Poor diversification). The correlation of Great 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.

Great West Correlation With Market

Poor diversification

The correlation between Great West Mfs International and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great West Mfs International 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 Great West Mfs International. 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 estimate.

Moving together with Great Mutual Fund

  0.94SFBPX Great-west SecurefoundationPairCorr
  0.95MXAGX Great West LifetimePairCorr
  0.94MXAKX Great West LifetimePairCorr
  0.95MXAHX Great West LifetimePairCorr
  0.96MXBQX Great West LifetimePairCorr
  0.95MXBOX Great West LifetimePairCorr
  0.95MXBPX Great West ModeratelyPairCorr
  0.93MXBUX Great West SpPairCorr
  0.96MXBSX Great West LifetimePairCorr
  0.94MXCJX Great West SecurefouPairCorr
  0.95MXAPX Great West AggressivePairCorr
  0.94MXATX Great West LifetimePairCorr
  0.94MXAYX Great West LifetimePairCorr
  0.96MXBEX Great West LifetimePairCorr
  0.96MXBDX Great West LifetimePairCorr
  0.96MXBGX Great West LifetimePairCorr
  0.97MXECX Great West EPairCorr
  0.94MXEBX Great West EPairCorr
  0.64MXEGX Great West EPairCorr
  0.92MXEOX Great West EmergingPairCorr
  0.92MXENX Great West EmergingPairCorr
  0.94MXELX Great West LifetimePairCorr
  0.9MXERX Great West SpPairCorr
  0.92MXEQX Great West TPairCorr
  0.93MXCPX Great West ServativePairCorr
  0.95MXDPX Great West ModeratelyPairCorr
  0.95MXGNX Great West LifetimePairCorr
  0.95MXGSX Great West MultiPairCorr
  0.94MXGQX Great West LifetimePairCorr
  0.94MXGPX Great West ModeratePairCorr
  0.95MXGTX Great West AggressivePairCorr
  0.95MXGUX Great West LifetimePairCorr
  0.95MXFLX Great West LifetimePairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Great Mutual Fund performing well and Great 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 Great 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SFBPX  0.36  0.07 (0.03) 0.30  0.24 
(0.43)
 1.25 
(0.76)
 2.68 
MXAGX  0.27  0.05 (0.13) 0.31  0.00 
(0.35)
 0.86 
(0.46)
 1.86 
MXAKX  0.26  0.05 (0.14) 0.32  0.00 
(0.34)
 0.86 
(0.46)
 1.85 
MXAHX  0.26  0.05 (0.15) 0.33  0.00 
(0.34)
 0.85 
(0.37)
 1.83 
MXBQX  0.46  0.10  0.06  0.33  0.21 
(0.59)
 1.58 
(0.83)
 3.41 
MXBOX  0.48  0.19  0.02 (2.50) 0.24 
(0.60)
 1.61 
(1.17)
 3.46 
MXBPX  0.40  0.14 (0.05)(4.56) 0.10 
(0.53)
 1.29 
(0.74)
 2.80 
MXBUX  0.78  0.07  0.07  0.23  0.70 
(0.96)
 2.19 
(1.57)
 6.17 
MXBSX  0.47  0.09  0.05  0.32  0.18 
(0.58)
 1.55 
(0.92)
 3.53 
MXCJX  0.36  0.06 (0.04) 0.28  0.09 
(0.46)
 1.23 
(0.66)
 2.74 

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