Short Duration Correlations

APISX Fund

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The current 90-days correlation between Short Duration Inflation and Credit Suisse Multialternative is -0.04 (i.e., Good diversification). The correlation of Short Duration 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.

Short Duration Correlation With Market

Modest diversification

The correlation between Short Duration Inflation and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Inflation and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Short Duration Inflation. 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 real.

Related Correlations Analysis

	CSQIX	MFTFX	ANBIX	ABNYX	RYIFX	VIPIX	ABYIX
CSQIX		0.02	-0.04	0.0	0.33	-0.27	0.14	CSQIX
MFTFX	0.02		0.37	0.3	0.76	-0.1	0.84	MFTFX
ANBIX	-0.04	0.37		0.73	0.28	0.69	0.38	ANBIX
ABNYX	0.0	0.3	0.73		0.18	0.54	0.28	ABNYX
RYIFX	0.33	0.76	0.28	0.18		-0.22	0.91	RYIFX
VIPIX	-0.27	-0.1	0.69	0.54	-0.22		-0.06	VIPIX
ABYIX	0.14	0.84	0.38	0.28	0.91	-0.06		ABYIX
	CSQIX	MFTFX	ANBIX	ABNYX	RYIFX	VIPIX	ABYIX

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

ABYIX	+ 0.91	RYIFX
ABYIX	+ 0.84	MFTFX
RYIFX	+ 0.76	MFTFX
ABNYX	+ 0.73	ANBIX
VIPIX	+ 0.69	ANBIX
VIPIX	+ 0.54	ABNYX

High negative correlations

VIPIX	- 0.27	CSQIX
VIPIX	- 0.22	RYIFX
VIPIX	- 0.1	MFTFX
ABYIX	- 0.06	VIPIX
ANBIX	- 0.04	CSQIX
ABNYX	- 0.0	CSQIX

Risk-Adjusted Indicators

There is a big difference between Short Mutual Fund performing well and Short Duration 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 Short Duration'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
CSQIX	0.33	(0.03)	(0.21)	(0.02)	0.38	(0.38)	0.86	(0.62)	1.72
MFTFX	1.17	0.15	0.06	0.77	1.17	(1.38)	2.76	(2.24)	6.84
ANBIX	0.07	(0.01)	(0.80)	(0.34)	0.06	(0.11)	0.19	(0.10)	0.48
ABNYX	0.07	(0.01)	(0.65)	(0.36)	0.08	(0.11)	0.09	(0.09)	0.57
RYIFX	0.62	0.03	0.01	0.14	0.73	(0.65)	1.25	(1.23)	4.43
VIPIX	0.15	(0.01)	(0.47)	(1.17)	0.16	(0.20)	0.32	(0.21)	0.85
ABYIX	0.43	0.03	(0.03)	0.16	0.44	(0.49)	0.92	(1.00)	2.56

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