Royce Total Correlations

RYTRX Fund

USD 8.56 0.02 0.23%

The current 90-days correlation between Royce Total Return and Hartford Moderate Allocation is 0.09 (i.e., Significant diversification). The correlation of Royce Total 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.

Royce Total Correlation With Market

Very poor diversification

The correlation between Royce Total Return and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce Total Return 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 Royce Total Return. 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 Royce Mutual Fund

0.98	RPFFX	Royce Premier	Pair Corr
0.95	RSEFX	Royce Special Equity	Pair Corr
0.96	RVVHX	Royce Small Cap Potential Growth	Pair Corr
0.96	RYDVX	Royce Dividend Value	Pair Corr
0.94	RYOFX	Royce Opportunity	Pair Corr
0.99	RYOTX	Royce Micro Cap	Pair Corr
0.98	RYPRX	Royce Premier	Pair Corr
0.94	RYPNX	Royce Opportunity	Pair Corr
0.98	RYSEX	Royce Special Equity	Pair Corr
1.0	RYTFX	Royce Total Return	Pair Corr
0.92	RYVFX	Royce Small Cap Potential Growth	Pair Corr
0.97	RYVPX	Royce Smaller Companies	Pair Corr
0.94	PENNX	Royce Pennsylvania Mutual	Pair Corr
0.96	VSIIX	Vanguard Small Cap	Pair Corr
0.99	VISVX	Vanguard Small Cap	Pair Corr
0.99	DFSVX	Us Small Cap	Pair Corr
0.96	DFFVX	Us Targeted Value	Pair Corr
0.94	UBVCX	Undiscovered Managers	Pair Corr
0.94	UBVAX	Undiscovered Managers	Pair Corr
0.99	UBVSX	Undiscovered Managers	Pair Corr
0.99	AVFIX	American Beacon Small	Pair Corr
0.71	RSNYX	Victory Global Natural	Pair Corr
0.71	RSNRX	Victory Global Natural	Pair Corr
0.7	RGNCX	Victory Global Natural	Pair Corr
0.93	LSHUX	Horizon Spin Off	Pair Corr
0.94	LSHEX	Kinetics Spin Off	Pair Corr
0.94	LSHAX	Horizon Spin Off	Pair Corr
0.86	RMQAX	Monthly Rebalance Steady Growth	Pair Corr
0.86	RMQHX	Monthly Rebalance Steady Growth	Pair Corr
0.98	VISGX	Vanguard Small Cap	Pair Corr
0.93	CLM	Cornerstone Strategic Sell-off Trend	Pair Corr
0.79	RYRCX	Retailing Fund Class	Pair Corr
0.9	VFINX	Vanguard 500 Index	Pair Corr

Moving against Royce Mutual Fund

0.56	RIPNX	Royce International	Pair Corr
0.47	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	HBAAX	AAAUX	GSVRX	DOXGX	TFCCX	LMUSX	UPAAX	TRSAX
HBAAX		0.91	0.84	0.81	0.71	0.86	0.91	0.82	HBAAX
AAAUX	0.91		0.96	0.89	0.89	0.93	0.9	0.93	AAAUX
GSVRX	0.84	0.96		0.94	0.96	0.95	0.9	0.92	GSVRX
DOXGX	0.81	0.89	0.94		0.95	0.98	0.92	0.92	DOXGX
TFCCX	0.71	0.89	0.96	0.95		0.94	0.83	0.92	TFCCX
LMUSX	0.86	0.93	0.95	0.98	0.94		0.95	0.96	LMUSX
UPAAX	0.91	0.9	0.9	0.92	0.83	0.95		0.91	UPAAX
TRSAX	0.82	0.93	0.92	0.92	0.92	0.96	0.91		TRSAX
	HBAAX	AAAUX	GSVRX	DOXGX	TFCCX	LMUSX	UPAAX	TRSAX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce Total 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 Royce Total'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
HBAAX	0.33	0.06	(0.15)	2.11	0.33	(0.36)	0.76	(0.68)	2.07
AAAUX	0.39	0.02	(0.06)	0.17	0.31	(0.47)	0.95	(0.60)	2.42
GSVRX	0.48	(0.01)	(0.07)	0.12	0.27	(0.64)	1.10	(0.76)	3.58
DOXGX	0.51	0.08	(0.10)	(1.90)	0.45	(0.59)	0.94	(0.85)	4.22
TFCCX	0.48	0.00	(0.07)	0.13	0.33	(0.56)	0.93	(0.69)	3.59
LMUSX	0.55	0.19	0.09	2.93	0.46	(0.68)	1.28	(1.13)	4.08
UPAAX	1.21	0.26	0.10	3.82	1.25	(1.38)	2.67	(2.16)	7.75
TRSAX	0.68	0.11	0.06	0.29	0.72	(0.67)	1.82	(1.49)	5.08

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