Absolute Convertible Correlations

Mutual Funds . USA . 
Fund . Absolute Convertible Arbitrage
ARBOX Fund  USD 11.66  0.01  0.09%   
The current 90-days correlation between Absolute Convertible and State Street Target is -0.11 (i.e., Good diversification). The correlation of Absolute Convertible 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.

Absolute Convertible Correlation With Market

Very poor diversification

The correlation between Absolute Convertible Arbitrage and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage 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 Absolute Convertible Arbitrage. 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 Absolute Mutual Fund

  1.0ARBIX Absolute ConvertiblePairCorr
  0.9ACEFX Absolute Cef OpportuPairCorr
  0.73CAPOX Absolute Capital OppPairCorr
  0.91CVSCX Calamos Market NeutralPairCorr
  0.91CVSIX Calamos Market NeutralPairCorr
  0.91CVSOX Calamos Market NeutralPairCorr
  0.91CMNIX Calamos Market NeutralPairCorr
  0.87ADAIX Aqr Diversified ArbitragePairCorr
  0.87ADANX Aqr Diversified ArbitragePairCorr
  0.86QDARX Aqr Diversified ArbitragePairCorr
  0.91PSCAX Palmer Square SsiPairCorr
  0.71VTSAX Vanguard Total StockPairCorr
  0.67VFIAX Vanguard 500 IndexPairCorr
  0.7VTSMX Vanguard Total StockPairCorr
  0.7VSMPX Vanguard Total StockPairCorr
  0.72VSTSX Vanguard Total StockPairCorr
  0.7VITSX Vanguard Total StockPairCorr
  0.87VTIAX Vanguard Total InterPairCorr
  0.68VFINX Vanguard 500 IndexPairCorr
  0.69VFFSX Vanguard 500 IndexPairCorr
  0.88SCJAX Steward Ered CallPairCorr
  0.91GIMDX Goldman Sachs LocalPairCorr
  0.93EKJAX Wells Fargo PremierPairCorr
  0.75HTCIX Hennessy TechnologyPairCorr
  0.8DIFHX Mfs Diversified IncomePairCorr
  0.83RBEEX American Funds 2030PairCorr
  0.62BAISX Brown Advisory SustaPairCorr
  0.84RFFTX American Funds 2035PairCorr
  0.61MLOAX Cohen Steers MlpPairCorr
  0.94HMVAX Hartford Mid CapPairCorr
  0.86PMPSX Precious Metals UltrPairCorr
  0.86THPGX Thompson LargecapPairCorr
  0.89STBKX Sierra Tactical BondPairCorr
  0.82RCMTX American Funds 2055PairCorr
  0.93FOSBX Small Pany FundPairCorr
  0.66ARIIX Ab Global RealPairCorr
  0.92AAAIX Strategic Allocation:PairCorr
  0.89PAMCX T Rowe PricePairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Absolute Mutual Fund performing well and Absolute Convertible 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 Absolute Convertible'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
ARBOX  0.11  0.07  0.31 (10.79) 0.00 
(0.21)
 0.17 
(0.09)
 3.52 
ARBIX  0.11  0.00  0.27  0.00  0.00 
(0.20)
 0.17 
(0.09)
 3.42 
ACEFX  0.24  0.06  0.05  2.88  0.00 
(0.33)
 0.61 
(0.45)
 1.25 
CAPOX  0.32  0.00 (0.11) 0.05  0.32 
(0.40)
 0.86 
(0.58)
 2.51 
PRISX  0.90  0.09  0.09  0.13  0.88 
(1.04)
 1.72 
(1.67)
 8.41 
FEHRX  0.14 (0.01)(0.15)(0.14) 0.19 
(0.21)
 0.37 
(0.38)
 1.25 
ENPSX  1.65  0.35  0.17  0.71  1.64 
(1.83)
 3.93 
(2.80)
 7.98 
FSSNX  0.94  0.11  0.06  0.99  1.03 
(1.01)
 2.00 
(1.85)
 5.59 
ROBCX  0.18  0.03 (0.04)(1.08) 0.00 
(0.25)
 0.46 
(0.34)
 1.15 
SSBWX  0.37  0.10  0.12 (3.95) 0.21 
(0.46)
 0.69 
(0.67)
 4.83 

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