Multifactor Correlations

Mutual Funds . USA . 
Fund . Multifactor Equity Fund
RTDCX Fund  USD 16.38  0.09  0.55%   
The current 90-days correlation between Multifactor Equity and International Developed Markets is 0.62 (i.e., Poor diversification). The correlation of Multifactor 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.

Multifactor Correlation With Market

Almost no diversification

The correlation between Multifactor Equity Fund and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multifactor Equity Fund and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Multifactor Equity Fund. 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 main economic indicators.

Moving together with Multifactor Mutual Fund

  0.96RNTTX International DevelopedPairCorr
  0.87RREAX Global Real EstatePairCorr
  0.87RREYX Global Real EstatePairCorr
  0.87RRESX Global Real EstatePairCorr
  0.86RRSCX Global Real EstatePairCorr
  0.87RRSRX Global Real EstatePairCorr
  1.0RALAX Growth StrategyPairCorr
  1.0RALCX Growth StrategyPairCorr
  1.0RALSX Growth StrategyPairCorr
  1.0RALRX Growth StrategyPairCorr
  1.0RALVX Growth StrategyPairCorr
  0.66RSBRX Strategic BondPairCorr
  0.87RSBTX Short Duration BondPairCorr
  0.87RSBYX Short Duration BondPairCorr
  0.99RSCRX Us Small CapPairCorr
  0.84RSBCX Short Duration BondPairCorr
  1.0RSECX Us Strategic EquityPairCorr
  1.0RSEAX Us Strategic EquityPairCorr
  1.0RSESX Us Strategic EquityPairCorr
  0.87RSDTX Short Duration BondPairCorr
  0.99RAZAX Multi Asset GrowthPairCorr
  0.99RAZCX Multi Asset GrowthPairCorr
  0.99RSQAX Us E EquityPairCorr
  0.89RBCUX Tax Exempt BondPairCorr
  0.65RSYTX Strategic BondPairCorr
  0.99RBLCX Balanced StrategyPairCorr
  0.99RBLAX Balanced StrategyPairCorr
  0.99RBLSX Balanced StrategyPairCorr
  0.99RBLVX Balanced StrategyPairCorr
  0.99RBLRX Balanced StrategyPairCorr
  1.0RTDAX Multifactor EquityPairCorr
  1.0RTDYX Select EquityPairCorr
  1.0RTDSX Select EquityPairCorr
  0.98RTDRX Select EquityPairCorr
  1.0RTDTX Select EquityPairCorr
  0.88RTEAX Tax Exempt BondPairCorr
  0.86RTECX Tax Exempt BondPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Multifactor Mutual Fund performing well and Multifactor 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 Multifactor'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
RNTTX  0.51  0.13  0.08  0.43  0.32 
(0.60)
 1.27 
(0.95)
 3.12 
RREAX  0.52  0.04 (0.04) 0.24  0.59 
(0.53)
 1.36 
(1.15)
 3.71 
RREYX  0.52  0.05 (0.04) 0.24  0.58 
(0.52)
 1.34 
(1.17)
 3.68 
RRESX  0.52  0.05 (0.04) 0.24  0.61 
(0.52)
 1.41 
(1.14)
 3.68 
RRSCX  0.52  0.04 (0.04) 0.23  0.63 
(0.52)
 1.36 
(1.14)
 3.70 
RRSRX  0.52  0.05 (0.04) 0.24  0.61 
(0.54)
 1.38 
(1.14)
 3.71 
RALAX  0.46  0.09  0.06  0.26  0.33 
(0.53)
 1.43 
(1.07)
 3.42 
RALCX  0.46  0.08  0.06  0.26  0.35 
(0.51)
 1.46 
(1.08)
 3.46 
RALSX  0.46  0.09  0.06  0.27  0.35 
(0.51)
 1.46 
(1.12)
 3.31 
RALRX  0.46  0.09  0.06  0.27  0.34 
(0.51)
 1.46 
(1.12)
 3.30 

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