Arbitrage Fund Correlations

ARBCX Fund

USD 11.95 0.01 0.08%

The current 90-days correlation between Arbitrage Fund and Janus Global Allocation is 0.41 (i.e., Very weak diversification). The correlation of Arbitrage Fund 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.

Arbitrage Fund Correlation With Market

Average diversification

The correlation between The Arbitrage Fund and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Fund 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 The Arbitrage 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 Arbitrage Mutual Fund

0.9	ARBNX	Arbitrage Fund	Pair Corr
0.98	ARBFX	Arbitrage Fund	Pair Corr
0.9	ARGAX	Arbitrage Fund	Pair Corr
0.92	AEDNX	Arbitrage Event	Pair Corr
0.93	AEDFX	Arbitrage Event	Pair Corr
0.89	AGEAX	Arbitrage Event	Pair Corr
0.66	BCLPX	Blckrk Lc Cr	Pair Corr
0.67	BILPX	Blkrk Lc Cr	Pair Corr
0.89	MERIX	Merger Fund	Pair Corr
0.89	MERFX	Merger Fund	Pair Corr
0.64	MSTVX	Morningstar Alternatives	Pair Corr

Related Correlations Analysis

	JMSCX	XACVX	GMBPX	PGBAX	TFCAX	VGCLX
JMSCX		0.74	-0.03	0.84	0.1	0.9	JMSCX
XACVX	0.74		0.28	0.83	0.41	0.86	XACVX
GMBPX	-0.03	0.28		0.22	0.95	-0.01	GMBPX
PGBAX	0.84	0.83	0.22		0.32	0.92	PGBAX
TFCAX	0.1	0.41	0.95	0.32		0.11	TFCAX
VGCLX	0.9	0.86	-0.01	0.92	0.11		VGCLX
	JMSCX	XACVX	GMBPX	PGBAX	TFCAX	VGCLX

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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

TFCAX	+ 0.95	GMBPX
VGCLX	+ 0.92	PGBAX
VGCLX	+ 0.9	JMSCX
VGCLX	+ 0.86	XACVX
PGBAX	+ 0.84	JMSCX
PGBAX	+ 0.83	XACVX

High negative correlations

GMBPX	- 0.03	JMSCX
VGCLX	- 0.01	GMBPX

Risk-Adjusted Indicators

There is a big difference between Arbitrage Mutual Fund performing well and Arbitrage Fund 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 Arbitrage Fund'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
JMSCX	0.29	(0.01)	(0.14)	0.01	0.42	(0.31)	0.68	(0.60)	2.29
XACVX	0.70	0.05	(0.02)	0.97	1.01	(0.72)	1.43	(1.48)	5.43
GMBPX	0.04	0.01	0.00	3.89	0.00	0.00	0.10	0.00	0.50
PGBAX	0.15	(0.01)	(0.36)	(0.21)	0.16	(0.21)	0.34	(0.34)	0.93
TFCAX	0.02	0.00	0.00	(0.11)	0.00	0.00	0.10	0.00	0.40
VGCLX	0.30	0.00	(0.14)	0.16	0.44	(0.30)	0.69	(0.68)	2.40

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