Absolute Convertible Correlations

ARBOX Fund

USD 11.60 0.01 0.09%

The current 90-days correlation between Absolute Convertible and Vanguard Extended Market is -0.13 (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

0.62	CVSIX	Calamos Market Neutral	Pair Corr
0.62	CVSOX	Calamos Market Neutral	Pair Corr
0.73	ARBIX	Absolute Convertible	Pair Corr
0.84	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.71	GAAKX	Gmo Alternative Allo	Pair Corr
0.65	GAAGX	Gmo Alternative Allo	Pair Corr
0.84	GPMFX	Guidepath Managed Futures	Pair Corr
0.65	TEMEX	Franklin Mutual Beacon	Pair Corr
0.97	GSMYX	Goldman Sachs Smallmid	Pair Corr
0.75	HCAYX	Hartford Capital	Pair Corr
0.79	HMDYX	Hartford Midcap	Pair Corr
0.78	HGIIX	Hartford E Equity	Pair Corr
0.69	TBLIX	Transamerica Multi	Pair Corr
0.9	EVOIX	Altegris Futures Evo	Pair Corr
0.75	JDEAX	Jpmorgan Disciplined	Pair Corr
0.71	WSCRX	Wells Fargo Advantage	Pair Corr
0.97	HFDFX	Hartford Schroders	Pair Corr
0.87	HFHCX	Hartford Floating	Pair Corr
0.61	GSAHX	Goldman Sachs Small	Pair Corr
0.86	HAHAX	Hartford High	Pair Corr
0.77	SCUVX	Hartford Schroders Small	Pair Corr

Related Correlations Analysis

	ARBIX	ACEFX	CAPOX	PIEQX	VWUSX	BLDRX	FDEEX	BICSX	VIEIX
ARBIX		0.71	0.82	0.85	0.85	0.78	0.84	0.84	0.73	ARBIX
ACEFX	0.71		0.76	0.65	0.68	0.72	0.69	0.56	0.73	ACEFX
CAPOX	0.82	0.76		0.91	0.73	0.87	0.92	0.8	0.92	CAPOX
PIEQX	0.85	0.65	0.91		0.8	0.87	0.98	0.84	0.9	PIEQX
VWUSX	0.85	0.68	0.73	0.8		0.7	0.82	0.63	0.73	VWUSX
BLDRX	0.78	0.72	0.87	0.87	0.7		0.89	0.86	0.85	BLDRX
FDEEX	0.84	0.69	0.92	0.98	0.82	0.89		0.84	0.94	FDEEX
BICSX	0.84	0.56	0.8	0.84	0.63	0.86	0.84		0.75	BICSX
VIEIX	0.73	0.73	0.92	0.9	0.73	0.85	0.94	0.75		VIEIX
	ARBIX	ACEFX	CAPOX	PIEQX	VWUSX	BLDRX	FDEEX	BICSX	VIEIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ARBIX	0.12	0.07	0.05	(41.49)	0.00	(0.21)	0.09	(0.09)	3.42
ACEFX	0.24	0.04	(0.08)	0.80	0.00	(0.32)	0.61	(0.32)	1.25
CAPOX	0.33	0.01	(0.08)	0.10	0.27	(0.42)	0.86	(0.58)	2.33
PIEQX	0.59	0.09	0.10	0.19	0.53	(0.66)	1.19	(1.15)	3.43
VWUSX	0.81	0.02	0.00	0.10	1.08	(0.85)	1.42	(1.98)	11.02
BLDRX	0.18	0.01	(0.21)	0.32	0.13	(0.22)	0.41	(0.31)	1.14
FDEEX	0.52	0.04	0.02	0.12	0.66	(0.53)	1.02	(1.24)	2.82
BICSX	0.75	0.29	0.26	1.34	0.57	(0.90)	1.67	(1.43)	3.86
VIEIX	0.83	(0.02)	(0.01)	0.05	1.01	(0.91)	1.52	(1.84)	3.78

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Absolute Convertible Correlations

Absolute Convertible Correlation With Market

Very poor diversification

Moving together with Absolute Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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