Multi-manager High Correlations

NMHYX Fund

USD 8.48 0.01 0.12%

The current 90-days correlation between Multi Manager High and Dreyfus High Yield is 0.84 (i.e., Very poor diversification). The correlation of Multi-manager High 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.

Multi-manager High Correlation With Market

Poor diversification

The correlation between Multi Manager High Yield and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield 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 Multi Manager High Yield. 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 Multi-manager Mutual Fund

0.99	NOEMX	Northern Emerging Markets	Pair Corr
0.64	NOFIX	Northern Fixed Income	Pair Corr
0.98	NOIEX	Northern Income Equity	Pair Corr
0.96	NOIGX	Northern International	Pair Corr
0.95	NOINX	Northern International	Pair Corr
0.72	NOITX	Northern Intermediate	Pair Corr
0.96	NOMIX	Northern Mid Cap	Pair Corr
0.98	NOLCX	Northern Large Cap	Pair Corr
0.95	NOLVX	Northern Large Cap	Pair Corr
0.98	NOSIX	Northern Stock Index	Pair Corr
0.95	NOSGX	Northern Small Cap	Pair Corr
0.9	BSBAX	Northern Short Bond	Pair Corr
0.98	BBALX	Northern Global Tactical	Pair Corr
0.97	NSCKX	Northern Small Cap	Pair Corr
0.98	NSIDX	Northern Small Cap	Pair Corr
0.97	NSGRX	Northern Small Cap	Pair Corr
0.88	NSITX	Northern Short Inter	Pair Corr
0.98	NSRKX	Northern Global Sust	Pair Corr
0.98	NSRIX	Northern Global Sust	Pair Corr
0.93	NTAUX	Northern Tax Advantaged	Pair Corr
0.92	SWSFX	Ultra Short Fixed	Pair Corr
0.77	NCITX	Northern California	Pair Corr
0.97	NUEIX	Northern Quality Esg	Pair Corr
0.97	NUESX	Northern Quality Esg	Pair Corr
0.92	NUSFX	Northern Ultra Short	Pair Corr
0.94	NGREX	Northern Global Real	Pair Corr
0.99	NHFIX	Northern High Yield	Pair Corr
0.94	NMFIX	Multi Manager Global	Pair Corr
0.97	NMIEX	Active M International	Pair Corr
0.93	NMMGX	Multi Manager Global	Pair Corr
0.99	NMMEX	Active M Emerging	Pair Corr
0.99	VWEAX	Vanguard High Yield	Pair Corr

Related Correlations Analysis

	XDHFX	BHYRX	HYSZX	JYHIX	FHYIX	PGAQX	TFHAX	FIHBX	AFBSX
XDHFX		0.98	0.98	0.98	0.39	0.0	0.77	0.98	-0.97	XDHFX
BHYRX	0.98		1.0	0.99	0.33	0.0	0.77	1.0	-0.98	BHYRX
HYSZX	0.98	1.0		0.99	0.36	0.0	0.8	0.99	-0.96	HYSZX
JYHIX	0.98	0.99	0.99		0.35	0.0	0.78	0.99	-0.96	JYHIX
FHYIX	0.39	0.33	0.36	0.35		0.0	0.81	0.32	-0.26	FHYIX
PGAQX	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	PGAQX
TFHAX	0.77	0.77	0.8	0.78	0.81	0.0		0.75	-0.68	TFHAX
FIHBX	0.98	1.0	0.99	0.99	0.32	0.0	0.75		-0.98	FIHBX
AFBSX	-0.97	-0.98	-0.96	-0.96	-0.26	0.0	-0.68	-0.98		AFBSX
	XDHFX	BHYRX	HYSZX	JYHIX	FHYIX	PGAQX	TFHAX	FIHBX	AFBSX

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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

HYSZX	+ 1.0	BHYRX
FIHBX	+ 1.0	BHYRX
JYHIX	+ 0.99	BHYRX
JYHIX	+ 0.99	HYSZX
FIHBX	+ 0.99	HYSZX
FIHBX	+ 0.99	JYHIX

High negative correlations

AFBSX	- 0.98	FIHBX
AFBSX	- 0.98	BHYRX
AFBSX	- 0.97	XDHFX
AFBSX	- 0.96	JYHIX
AFBSX	- 0.96	HYSZX
AFBSX	- 0.68	TFHAX

Risk-Adjusted Indicators

There is a big difference between Multi-manager Mutual Fund performing well and Multi-manager High 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 Multi-manager High'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
XDHFX	0.30	0.02	(0.09)	0.30	0.33	(0.49)	0.75	(0.75)	1.89
BHYRX	0.21	0.02	(0.10)	0.26	0.29	(0.26)	0.59	(0.44)	1.45
HYSZX	0.16	0.02	(0.13)	0.38	0.13	(0.23)	0.37	(0.37)	1.22
JYHIX	0.22	0.01	(0.12)	0.20	0.23	(0.40)	0.66	(0.34)	1.02
FHYIX	0.34	(0.02)	0.00	0.24	0.00	0.00	0.58	(1.49)	3.95
PGAQX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TFHAX	0.20	0.01	(0.16)	(0.03)	0.39	(0.23)	0.41	(0.95)	2.33
FIHBX	0.18	0.03	(0.13)	0.35	0.18	(0.23)	0.45	(0.35)	1.15
AFBSX	0.33	(0.03)	0.00	0.20	0.00	0.00	0.90	(0.58)	4.07

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