Liberty All Correlations

ASG Fund

USD 5.14 0.09 1.72%

The current 90-days correlation between Liberty All Star and Morgan Stanley Emerging is 0.2 (i.e., Modest diversification). The correlation of Liberty All 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.

Liberty All Correlation With Market

Poor diversification

The correlation between Liberty All Star and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Liberty All Star 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 Liberty All Star. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in producer price index.

Moving together with Liberty Fund

0.61	TDF	Templeton Dragon Closed	Pair Corr
0.63	VTTSX	Vanguard Target Reti	Pair Corr
0.63	LPEFX	Alpsred Rocks Listed	Pair Corr
0.61	DTDRX	Dimensional 2065 Target	Pair Corr
0.64	TLMPX	Tiaa Cref Lifecycle	Pair Corr
0.62	CGGGX	American Funds Global	Pair Corr

Moving against Liberty Fund

0.42	IFN	India Closed	Pair Corr
0.31	IIF	Morgan Stanley India	Pair Corr

Related Correlations Analysis

	EDD	TWN	FOF	ARDC	RCS	SPXX	RFI	AWP	WAMVX	DIISX
EDD		0.95	0.93	0.22	-0.8	0.64	0.55	0.84	0.86	0.96	EDD
TWN	0.95		0.92	0.22	-0.8	0.66	0.54	0.79	0.87	0.97	TWN
FOF	0.93	0.92		0.33	-0.78	0.51	0.58	0.81	0.79	0.93	FOF
ARDC	0.22	0.22	0.33		-0.13	0.17	0.41	0.24	0.29	0.36	ARDC
RCS	-0.8	-0.8	-0.78	-0.13		-0.7	-0.3	-0.67	-0.85	-0.8	RCS
SPXX	0.64	0.66	0.51	0.17	-0.7		0.03	0.45	0.84	0.7	SPXX
RFI	0.55	0.54	0.58	0.41	-0.3	0.03		0.77	0.27	0.56	RFI
AWP	0.84	0.79	0.81	0.24	-0.67	0.45	0.77		0.65	0.8	AWP
WAMVX	0.86	0.87	0.79	0.29	-0.85	0.84	0.27	0.65		0.9	WAMVX
DIISX	0.96	0.97	0.93	0.36	-0.8	0.7	0.56	0.8	0.9		DIISX
	EDD	TWN	FOF	ARDC	RCS	SPXX	RFI	AWP	WAMVX	DIISX

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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

DIISX	+ 0.97	TWN
DIISX	+ 0.96	EDD
TWN	+ 0.95	EDD
FOF	+ 0.93	EDD
DIISX	+ 0.93	FOF
FOF	+ 0.92	TWN

High negative correlations

WAMVX	- 0.85	RCS
DIISX	- 0.8	RCS
RCS	- 0.8	TWN
RCS	- 0.8	EDD
RCS	- 0.78	FOF
SPXX	- 0.7	RCS

Risk-Adjusted Indicators

There is a big difference between Liberty Fund performing well and Liberty All 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 Liberty All'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
EDD	0.56	0.23	0.23	0.98	0.31	(0.69)	1.46	(0.95)	3.29
TWN	1.08	0.31	0.25	1.31	0.80	(1.27)	2.19	(1.50)	4.70
FOF	0.70	0.17	0.14	0.52	0.69	(0.77)	1.59	(1.27)	6.26
ARDC	0.35	(0.06)	0.00	(0.21)	0.00	0.00	0.84	(0.61)	2.22
RCS	1.33	(0.30)	0.00	(0.45)	0.00	0.00	2.26	(3.90)	10.37
SPXX	0.62	0.01	(0.02)	0.07	0.63	(0.70)	1.34	(1.28)	2.87
RFI	0.59	0.06	0.03	0.23	0.57	(0.63)	1.19	(1.01)	2.54
AWP	0.59	0.09	0.06	0.57	0.52	(0.74)	1.32	(1.01)	3.57
WAMVX	1.15	0.26	0.22	0.28	0.77	(1.63)	2.60	(1.96)	15.68
DIISX	0.58	0.12	0.13	0.26	0.47	(0.65)	1.30	(1.22)	3.02

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