Gotham Absolute Correlations

GARIX Fund

USD 24.08 0.24 0.99%

The current 90-days correlation between Gotham Absolute Return and Bbh Intermediate Municipal is -0.15 (i.e., Good diversification). The correlation of Gotham Absolute 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.

Gotham Absolute Correlation With Market

Poor diversification

The correlation between Gotham Absolute Return and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Absolute Return and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Gotham Absolute 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 gross domestic product.

Moving together with Gotham Mutual Fund

0.82	GCHDX	Gotham Hedged E	Pair Corr
0.7	GDLFX	Gotham Defensive Long	Pair Corr
0.89	GVALX	Gotham Large Value	Pair Corr
0.91	GEFPX	Gotham Enhanced 500	Pair Corr
0.98	GENIX	Gotham Enhanced Return	Pair Corr
0.89	GINDX	Gotham Index Plus	Pair Corr
0.89	GNNDX	Gotham Index Plus	Pair Corr
0.9	GONIX	Gotham Neutral	Pair Corr
0.89	GSPFX	Gotham Enhanced Sp	Pair Corr
0.85	NLSCX	Neuberger Berman Long	Pair Corr
0.85	NLSAX	Neuberger Berman Long	Pair Corr
0.81	NLSIX	Neuberger Berman Long	Pair Corr
0.88	ASLAX	Ab Select Longshort	Pair Corr
0.64	KMKCX	Kinetics Market Oppo Steady Growth	Pair Corr
0.68	KSCYX	Kinetics Small Cap Steady Growth	Pair Corr
0.65	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.71	LETRX	Voya Russia Fund	Pair Corr
0.65	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.64	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.68	KSOCX	Kinetics Small Cap Steady Growth	Pair Corr
0.61	KINCX	Kinetics Internet	Pair Corr
0.68	KSCOX	Kinetics Small Cap Steady Growth	Pair Corr
0.66	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.89	JILGX	Multimanager Lifestyle	Pair Corr
0.82	TRLCX	Tiaa-cref Large-cap	Pair Corr
0.8	PHYZX	Prudential High Yield	Pair Corr
0.73	WWLAX	Westwood Largecap Value	Pair Corr
0.78	VMIDX	Mid Cap Index	Pair Corr
0.83	FHKCX	Fidelity China Region	Pair Corr
0.84	PARAX	T Rowe Price	Pair Corr
0.88	TAIAX	American Funds Tax	Pair Corr

Related Correlations Analysis

	BBINX	JFIFX	MBSAX	PATFX	BXDYX	MDMTX	TOHIX	TTRBX
BBINX		-0.43	0.8	0.95	0.22	0.84	0.99	0.84	BBINX
JFIFX	-0.43		-0.17	-0.29	0.46	-0.58	-0.35	-0.7	JFIFX
MBSAX	0.8	-0.17		0.79	0.36	0.66	0.82	0.77	MBSAX
PATFX	0.95	-0.29	0.79		0.4	0.72	0.95	0.76	PATFX
BXDYX	0.22	0.46	0.36	0.4		-0.14	0.25	0.08	BXDYX
MDMTX	0.84	-0.58	0.66	0.72	-0.14		0.84	0.81	MDMTX
TOHIX	0.99	-0.35	0.82	0.95	0.25	0.84		0.81	TOHIX
TTRBX	0.84	-0.7	0.77	0.76	0.08	0.81	0.81		TTRBX
	BBINX	JFIFX	MBSAX	PATFX	BXDYX	MDMTX	TOHIX	TTRBX

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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

TOHIX	+ 0.99	BBINX
PATFX	+ 0.95	BBINX
TOHIX	+ 0.95	PATFX
MDMTX	+ 0.84	BBINX
TTRBX	+ 0.84	BBINX
TOHIX	+ 0.84	MDMTX

High negative correlations

TTRBX	- 0.7	JFIFX
MDMTX	- 0.58	JFIFX
JFIFX	- 0.43	BBINX
TOHIX	- 0.35	JFIFX
PATFX	- 0.29	JFIFX
MBSAX	- 0.17	JFIFX

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Absolute 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 Gotham Absolute'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
BBINX	0.12	0.01	(0.41)	0.01	0.15	(0.19)	0.29	(0.29)	1.07
JFIFX	0.85	0.27	0.16	(3.18)	0.54	(0.98)	1.87	(1.35)	9.78
MBSAX	0.21	0.00	(0.35)	0.06	0.24	(0.23)	0.37	(0.44)	1.25
PATFX	0.16	0.02	(0.24)	(0.08)	0.22	(0.24)	0.44	(0.35)	1.69
BXDYX	0.10	0.01	(0.73)	5.82	0.00	(0.16)	0.33	(0.11)	0.66
MDMTX	0.17	(0.01)	(0.31)	(0.20)	0.25	(0.23)	0.38	(0.56)	1.33
TOHIX	0.13	0.01	(0.33)	(0.03)	0.16	(0.20)	0.28	(0.36)	1.20
TTRBX	0.13	(0.01)	0.00	(0.41)	0.00	0.00	0.30	(0.30)	0.70

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