Frost Kempner Correlations

FIKDX Fund

USD 12.73 0.02 0.16%

The current 90-days correlation between Frost Kempner Multi and Dodge Cox Stock is 0.86 (i.e., Very poor diversification). The correlation of Frost Kempner 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 Kempner Correlation With Market

Very poor diversification

The correlation between Frost Kempner Multi Cap 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 Frost Kempner Multi Cap 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 Kempner Multi Cap. 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 unemployment.

Moving together with Frost Mutual Fund

1.0	FAKDX	Frost Kempner Multi	Pair Corr
0.96	VVIAX	Vanguard Value Index	Pair Corr
0.96	DOXGX	Dodge Cox Stock	Pair Corr
0.91	AFMFX	American Mutual	Pair Corr
0.91	FFMMX	American Funds American	Pair Corr
0.91	FFFMX	American Funds American	Pair Corr
0.91	AMRMX	American Mutual	Pair Corr
0.91	AMFFX	American Mutual	Pair Corr
0.9	AMFCX	American Mutual	Pair Corr
0.96	DODGX	Dodge Stock Fund	Pair Corr
0.96	VIVAX	Vanguard Value Index	Pair Corr
0.87	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.87	LSHCX	Horizon Spin Off	Pair Corr
0.8	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.8	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.87	LSHEX	Kinetics Spin Off	Pair Corr
0.79	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.86	KNPCX	Kinetics Paradigm	Pair Corr
0.87	LSHAX	Horizon Spin Off Steady Growth	Pair Corr
0.86	WWNPX	Kinetics Paradigm	Pair Corr
0.86	KNPYX	Kinetics Paradigm	Pair Corr
0.93	USA	Liberty All Star	Pair Corr
0.93	NDMSX	Nationwide Investor	Pair Corr
0.81	TUHYX	T Rowe Price	Pair Corr
0.95	FZROX	Fidelity Zero Total	Pair Corr
0.92	SSCCX	Small Capitalization	Pair Corr
0.93	JVAIX	Jpmorgan Value Advantage	Pair Corr
0.95	FCLCX	Fidelity Advisor Ind	Pair Corr
0.93	HNSGX	Harbor Small Cap	Pair Corr
0.95	GMXIX	Nationwide Mid Cap	Pair Corr
0.79	FGILX	Fidelity Global Equity	Pair Corr
0.95	DFMAX	Davidson Multi Cap	Pair Corr

Moving against Frost Mutual Fund

0.35

FOFQX

Franklin Oregon Tax

Pair Corr

Related Correlations Analysis

	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX
DOXGX		0.88	0.88	0.87	0.87	0.86	1.0	0.95	DOXGX
FFMMX	0.88		1.0	1.0	1.0	1.0	0.88	0.96	FFMMX
FFFMX	0.88	1.0		1.0	1.0	1.0	0.88	0.96	FFFMX
AMRMX	0.87	1.0	1.0		1.0	1.0	0.87	0.96	AMRMX
AMFFX	0.87	1.0	1.0	1.0		1.0	0.87	0.96	AMFFX
AMFCX	0.86	1.0	1.0	1.0	1.0		0.86	0.95	AMFCX
DODGX	1.0	0.88	0.88	0.87	0.87	0.86		0.95	DODGX
VIVAX	0.95	0.96	0.96	0.96	0.96	0.95	0.95		VIVAX
	DOXGX	FFMMX	FFFMX	AMRMX	AMFFX	AMFCX	DODGX	VIVAX

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Risk-Adjusted Indicators

There is a big difference between Frost Mutual Fund performing well and Frost Kempner 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 Kempner'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
DOXGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.93)	4.22
FFMMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.66
FFFMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.90	(0.86)	2.68
AMRMX	0.46	(0.02)	(0.12)	0.10	0.42	(0.52)	0.91	(0.86)	2.66
AMFFX	0.46	(0.02)	(0.12)	0.10	0.43	(0.52)	0.90	(0.86)	2.68
AMFCX	0.46	(0.02)	(0.13)	0.09	0.43	(0.51)	0.90	(0.88)	2.68
DODGX	0.52	(0.02)	(0.06)	0.11	0.44	(0.58)	0.94	(0.94)	4.22
VIVAX	0.51	(0.01)	(0.06)	0.12	0.38	(0.61)	1.05	(0.83)	3.45

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