Frost Total Correlations

FIJEX Fund

USD 9.68 0.02 0.21%

The current 90-days correlation between Frost Total Return and Artisan Developing World is 0.22 (i.e., Modest diversification). The correlation of Frost Total 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.

Frost Total Correlation With Market

Modest diversification

The correlation between Frost Total Return and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Frost Total Return and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Frost Total Return. 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 income.

Moving together with Frost Mutual Fund

0.99	FAJEX	Frost Total Return	Pair Corr
0.99	FATRX	Frost Total Return	Pair Corr
0.61	FCFBX	Fidelity Advisor Freedom	Pair Corr
0.65	VBITX	Vanguard Short Term	Pair Corr
0.67	VBISX	Vanguard Short Term	Pair Corr
0.61	VSCSX	Vanguard Short Term	Pair Corr
0.85	XDSMX	Dreyfus Strategic	Pair Corr
0.87	XNXJX	Nuveen New Jersey	Pair Corr
0.83	NXJ	Nuveen New Jersey	Pair Corr
0.85	XNBHX	Neuberger Berman Int	Pair Corr

Moving against Frost Mutual Fund

0.4	SHRMX	Stone Ridge High	Pair Corr
0.4	QMNRX	Aqr Equity Market	Pair Corr
0.37	GSCAX	Goldman Sachs Modity	Pair Corr

Related Correlations Analysis

	ARTYX	USMIX	VEGBX	ZEMIX	QNZIX	LOTCX	SPMIX	KMKCX
ARTYX		0.62	0.76	0.16	0.3	0.15	0.25	0.49	ARTYX
USMIX	0.62		0.65	0.27	-0.38	-0.42	0.81	0.35	USMIX
VEGBX	0.76	0.65		0.2	0.19	0.15	0.26	0.31	VEGBX
ZEMIX	0.16	0.27	0.2		-0.48	-0.49	0.3	-0.55	ZEMIX
QNZIX	0.3	-0.38	0.19	-0.48		0.94	-0.63	0.45	QNZIX
LOTCX	0.15	-0.42	0.15	-0.49	0.94		-0.61	0.34	LOTCX
SPMIX	0.25	0.81	0.26	0.3	-0.63	-0.61		0.22	SPMIX
KMKCX	0.49	0.35	0.31	-0.55	0.45	0.34	0.22		KMKCX
	ARTYX	USMIX	VEGBX	ZEMIX	QNZIX	LOTCX	SPMIX	KMKCX

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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

LOTCX	+ 0.94	QNZIX
SPMIX	+ 0.81	USMIX
VEGBX	+ 0.76	ARTYX
VEGBX	+ 0.65	USMIX
USMIX	+ 0.62	ARTYX
KMKCX	+ 0.49	ARTYX

High negative correlations

SPMIX	- 0.63	QNZIX
SPMIX	- 0.61	LOTCX
KMKCX	- 0.55	ZEMIX
LOTCX	- 0.49	ZEMIX
QNZIX	- 0.48	ZEMIX
LOTCX	- 0.42	USMIX

Risk-Adjusted Indicators

There is a big difference between Frost Mutual Fund performing well and Frost Total 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 Frost Total'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
ARTYX	0.78	(0.04)	0.00	(0.17)	0.00	0.00	1.37	(1.63)	4.86
USMIX	0.95	(0.14)	0.00	(0.21)	0.00	0.00	1.61	(1.48)	15.54
VEGBX	0.23	(0.01)	0.00	(0.14)	0.00	0.00	0.51	(0.39)	1.76
ZEMIX	0.66	(0.07)	0.00	(0.27)	0.00	0.00	1.35	(1.44)	4.24
QNZIX	0.54	0.09	0.09	0.82	0.63	(0.56)	0.99	(1.01)	3.78
LOTCX	0.53	0.05	0.04	(3.96)	0.61	(0.59)	0.98	(0.98)	3.31
SPMIX	0.84	(0.11)	0.00	(0.19)	0.00	0.00	1.45	(1.29)	12.47
KMKCX	1.78	0.40	0.16	0.54	2.18	(1.91)	3.82	(4.21)	15.50

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