Fs Multi-strategy Correlations

FSMMX Fund

USD 11.10 0.01 0.09%

The current 90-days correlation between Fs Multi Strategy and Fs Real Asset is 0.18 (i.e., Average diversification). The correlation of Fs Multi-strategy 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.

Fs Multi-strategy Correlation With Market

Good diversification

The correlation between Fs Multi Strategy Alt and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Fs Multi Strategy Alt 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 Fs Multi Strategy Alt. 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 population.

Moving together with FSMMX Mutual Fund

0.99	FSMSX	Fs Multi Strategy	Pair Corr
0.79	BIMBX	Blackrock Alternative	Pair Corr
0.8	BAMBX	Blackrock Alternative	Pair Corr
0.81	BMBCX	Blackrock Alternative	Pair Corr
0.79	BKMBX	Blackrock Systematic	Pair Corr
0.63	GARTX	Goldman Sachs Absolute	Pair Corr
0.64	GCRTX	Goldman Sachs Absolute	Pair Corr
0.61	GPBFX	Gmo E Plus	Pair Corr
0.83	WARCX	Wells Fargo Advantage	Pair Corr
0.79	RFI	Cohen Steers Total	Pair Corr
0.71	CEUAX	Europacific Growth	Pair Corr
0.63	APBDX	Bond Fund Investor	Pair Corr
0.79	USCCX	Cornerstone Conservative	Pair Corr
0.69	XWIWX	Western Asset/claymore	Pair Corr
0.87	BCAAX	Brandywineglobal C	Pair Corr
0.78	MRTAX	Massmutual Retiresmart	Pair Corr
0.63	GLOSX	Pioneer Global Equity	Pair Corr
0.74	FRIFX	Fidelity Real Estate	Pair Corr
0.62	FTIHX	Fidelity Total Inter	Pair Corr

Moving against FSMMX Mutual Fund

0.62	PQTAX	Pimco Trends Managed	Pair Corr
0.62	PQTNX	Pimco Trends Managed	Pair Corr
0.62	PQTIX	Aa Pimco Tr	Pair Corr

Related Correlations Analysis

	FARLX	FSMMX	TORIX	RTIUX	RA	GMOUX	JSRAX	FSIGX	STBFX
FARLX		-0.03	0.0	-0.57	0.21	-0.66	0.17	-0.72	-0.79	FARLX
FSMMX	-0.03		0.12	0.62	0.76	0.57	0.79	0.61	0.55	FSMMX
TORIX	0.0	0.12		0.19	0.45	0.15	0.31	0.12	0.16	TORIX
RTIUX	-0.57	0.62	0.19		0.55	0.98	0.62	0.82	0.84	RTIUX
RA	0.21	0.76	0.45	0.55		0.47	0.89	0.38	0.35	RA
GMOUX	-0.66	0.57	0.15	0.98	0.47		0.53	0.87	0.9	GMOUX
JSRAX	0.17	0.79	0.31	0.62	0.89	0.53		0.44	0.38	JSRAX
FSIGX	-0.72	0.61	0.12	0.82	0.38	0.87	0.44		0.96	FSIGX
STBFX	-0.79	0.55	0.16	0.84	0.35	0.9	0.38	0.96		STBFX
	FARLX	FSMMX	TORIX	RTIUX	RA	GMOUX	JSRAX	FSIGX	STBFX

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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

GMOUX	+ 0.98	RTIUX
STBFX	+ 0.96	FSIGX
STBFX	+ 0.9	GMOUX
JSRAX	+ 0.89	RA
FSIGX	+ 0.87	GMOUX
STBFX	+ 0.84	RTIUX

High negative correlations

STBFX	- 0.79	FARLX
FSIGX	- 0.72	FARLX
GMOUX	- 0.66	FARLX
RTIUX	- 0.57	FARLX
FSMMX	- 0.03	FARLX
TORIX	- 0.0	FARLX

Risk-Adjusted Indicators

There is a big difference between FSMMX Mutual Fund performing well and Fs Multi-strategy 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 Fs Multi-strategy'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
FARLX	1.29	(0.17)	0.00	(0.29)	0.00	0.00	2.01	(5.02)	9.24
FSMMX	0.12	0.00	0.51	(0.13)	0.09	(0.18)	0.27	(0.18)	0.90
TORIX	0.98	0.12	0.17	(0.94)	1.18	(1.07)	1.87	(1.99)	6.46
RTIUX	0.61	0.07	0.20	(0.69)	0.70	(0.65)	1.47	(1.41)	5.02
RA	0.28	0.02	0.25	0.09	0.32	(0.31)	0.68	(0.68)	1.45
GMOUX	0.66	0.11	0.25	(0.75)	0.73	(0.73)	1.65	(1.14)	5.31
JSRAX	0.32	0.02	0.00	(0.03)	0.00	0.00	0.64	(0.64)	1.82
FSIGX	0.26	0.06	0.54	(14.05)	0.00	(0.34)	0.60	(0.40)	1.34
STBFX	0.09	0.00	0.52	0.00	0.00	(0.23)	0.20	(0.20)	0.61

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