Fs Multi-strategy Correlations

FSMSX Fund

USD 11.23 0.02 0.18%

The current 90-days correlation between Fs Multi Strategy and Emerging Markets Fund is 0.22 (i.e., Modest 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

Modest diversification

The correlation between Fs Multi Strategy Alt and DJI is 0.26 (i.e., Modest 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 against FSMSX Mutual Fund

0.66	BMBCX	Blackrock Alternative	Pair Corr
0.65	BIMBX	Blackrock Alternative	Pair Corr
0.65	BAMBX	Blackrock Alternative	Pair Corr
0.63	BKMBX	Blackrock Systematic	Pair Corr
0.58	BXMDX	Blackstone Alternative	Pair Corr
0.57	FSMMX	Fs Multi Strategy	Pair Corr
0.49	BRUFX	Bruce Fund Bruce	Pair Corr
0.47	GCRTX	Goldman Sachs Absolute	Pair Corr
0.45	GARTX	Goldman Sachs Absolute	Pair Corr
0.42	BXMIX	Blackstone Alternative	Pair Corr
0.41	BXMYX	Blackstone Alternative	Pair Corr
0.67	SUWCX	Deutsche E Equity	Pair Corr
0.63	MGORX	Msif Global Opportunity	Pair Corr
0.59	ETGLX	Eventide Gilead	Pair Corr
0.56	GCSCX	Goldman Sachs Small	Pair Corr
0.55	SCIPX	Strategic Asset Mana	Pair Corr
0.46	APHJX	Artisan International	Pair Corr
0.42	SEEHX	Steward Large Cap	Pair Corr
0.41	AVDEX	Avantis International	Pair Corr
0.34	EVT	Eaton Vance Tax	Pair Corr
0.31	FSTIX	Federated Short Term	Pair Corr
0.67	DHLTX	Diamond Hill All	Pair Corr
0.66	AFAVX	Amg River Road	Pair Corr
0.61	TWVLX	Value Fund Investor	Pair Corr
0.56	RGAGX	Growth Fund	Pair Corr
0.54	GSPKX	Goldman Sachs Equity	Pair Corr
0.5	BROAX	Blackrock Global Opp	Pair Corr

Related Correlations Analysis

	AMKIX	PTOAX	PSPTX	SGDLX	TDMTX	GCMAX	PSGCX	PXSGX	SMBYX	TQMIX
AMKIX		0.43	0.44	0.68	0.67	0.49	-0.44	-0.42	0.57	0.62	AMKIX
PTOAX	0.43		1.0	0.7	0.67	0.97	-0.87	-0.86	0.93	0.85	PTOAX
PSPTX	0.44	1.0		0.7	0.67	0.97	-0.87	-0.86	0.93	0.85	PSPTX
SGDLX	0.68	0.7	0.7		0.45	0.75	-0.7	-0.69	0.78	0.67	SGDLX
TDMTX	0.67	0.67	0.67	0.45		0.67	-0.6	-0.58	0.66	0.72	TDMTX
GCMAX	0.49	0.97	0.97	0.75	0.67		-0.89	-0.88	0.96	0.87	GCMAX
PSGCX	-0.44	-0.87	-0.87	-0.7	-0.6	-0.89		1.0	-0.81	-0.89	PSGCX
PXSGX	-0.42	-0.86	-0.86	-0.69	-0.58	-0.88	1.0		-0.79	-0.87	PXSGX
SMBYX	0.57	0.93	0.93	0.78	0.66	0.96	-0.81	-0.79		0.88	SMBYX
TQMIX	0.62	0.85	0.85	0.67	0.72	0.87	-0.89	-0.87	0.88		TQMIX
	AMKIX	PTOAX	PSPTX	SGDLX	TDMTX	GCMAX	PSGCX	PXSGX	SMBYX	TQMIX

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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

PSPTX	+ 1.0	PTOAX
PXSGX	+ 1.0	PSGCX
GCMAX	+ 0.97	PTOAX
GCMAX	+ 0.97	PSPTX
SMBYX	+ 0.96	GCMAX
SMBYX	+ 0.93	PTOAX

High negative correlations

TQMIX	- 0.89	PSGCX
PSGCX	- 0.89	GCMAX
PXSGX	- 0.88	GCMAX
TQMIX	- 0.87	PXSGX
PSGCX	- 0.87	PSPTX
PSGCX	- 0.87	PTOAX

Risk-Adjusted Indicators

There is a big difference between FSMSX 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
AMKIX	0.66	0.13	0.07	0.84	0.54	(0.79)	1.34	(0.93)	3.69
PTOAX	0.74	0.15	0.21	0.22	0.38	(0.90)	1.31	(1.08)	14.21
PSPTX	0.73	0.15	0.21	0.22	0.36	(0.95)	1.16	(1.15)	13.66
SGDLX	1.43	0.36	0.19	0.58	1.33	(1.71)	3.76	(3.17)	8.64
TDMTX	0.70	0.16	0.16	0.34	0.45	(0.81)	1.51	(1.08)	3.61
GCMAX	0.92	0.21	0.31	0.22	0.33	(1.16)	1.63	(1.39)	18.09
PSGCX	1.68	(0.88)	0.00	(0.30)	0.00	0.00	2.19	(1.99)	48.69
PXSGX	1.41	(0.65)	0.00	(0.25)	0.00	0.00	2.20	(1.99)	36.02
SMBYX	0.77	0.04	0.07	0.12	0.68	(0.88)	1.32	(1.38)	9.40
TQMIX	0.95	0.10	0.07	0.22	0.86	(1.18)	1.59	(1.92)	13.30

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