Gotham Absolute Correlations

GARIX Fund

USD 21.83 0.13 0.59%

The current 90-days correlation between Gotham Absolute Return and Gotham Enhanced Sp is 0.95 (i.e., Almost no 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 0.77 (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

0.96	GVALX	Gotham Large Value	Pair Corr
0.9	GENIX	Gotham Enhanced Return	Pair Corr
0.88	GINDX	Gotham Index Plus	Pair Corr
0.88	GNNDX	Gotham Index Plus	Pair Corr
0.99	GSPFX	Gotham Enhanced Sp	Pair Corr
0.9	GTRFX	Gotham Total Return	Pair Corr
0.64	QLEIX	Aqr Long Short	Pair Corr
0.63	QLENX	Aqr Long Short	Pair Corr
0.64	QLERX	Aqr Long Short	Pair Corr
0.86	SMPIX	Semiconductor Ultrasector	Pair Corr
0.9	SMPSX	Semiconductor Ultrasector	Pair Corr
0.76	PMPIX	Precious Metals Ultr	Pair Corr
0.76	PMPSX	Precious Metals Ultr	Pair Corr
0.93	TSMTX	Tiaa Cref Lifestyle	Pair Corr
0.79	BDVFX	Blackrock Diversified	Pair Corr
0.85	WCMVX	Wcm Focused International	Pair Corr
0.74	MDPSX	Mid Cap Profund	Pair Corr
0.79	JMSSX	Jpmorgan Smartretirement*	Pair Corr
0.79	WCMAX	Wcm Mid Cap	Pair Corr
0.76	JSMGX	Janus Triton	Pair Corr
0.7	FTMSX	Fuller Thaler Behavioral	Pair Corr
0.75	VRISX	Virtus International	Pair Corr
0.64	KNPCX	Kinetics Paradigm	Pair Corr
0.82	FFCGX	Fa 529 Aggressive	Pair Corr
0.65	FKKSX	Federated Kaufmann Small	Pair Corr

Moving against Gotham Mutual Fund

0.53	GONIX	Gotham Neutral	Pair Corr
0.46	NLSCX	Neuberger Berman Long	Pair Corr
0.41	NLSAX	Neuberger Berman Long	Pair Corr
0.39	NLSIX	Neuberger Berman Long	Pair Corr

Related Correlations Analysis

	GVALX	GENIX	GINDX	GNNDX	GONIX	GSPFX
GVALX		0.91	0.82	0.82	-0.69	0.95	GVALX
GENIX	0.91		0.89	0.89	-0.64	0.89	GENIX
GINDX	0.82	0.89		1.0	-0.44	0.91	GINDX
GNNDX	0.82	0.89	1.0		-0.43	0.91	GNNDX
GONIX	-0.69	-0.64	-0.44	-0.43		-0.52	GONIX
GSPFX	0.95	0.89	0.91	0.91	-0.52		GSPFX
	GVALX	GENIX	GINDX	GNNDX	GONIX	GSPFX

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

GNNDX	+ 1.0	GINDX
GSPFX	+ 0.95	GVALX
GENIX	+ 0.91	GVALX
GSPFX	+ 0.91	GINDX
GSPFX	+ 0.91	GNNDX
GINDX	+ 0.89	GENIX

High negative correlations

GONIX	- 0.69	GVALX
GONIX	- 0.64	GENIX
GSPFX	- 0.52	GONIX
GONIX	- 0.44	GINDX
GONIX	- 0.43	GNNDX

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
GVALX	0.71	0.31	0.46	0.55	0.00	(0.91)	1.46	(1.11)	13.18
GENIX	0.58	0.12	0.10	(0.81)	0.62	(0.65)	1.26	(1.39)	3.28
GINDX	0.60	0.10	0.06	(0.66)	0.72	(0.60)	1.03	(1.23)	4.57
GNNDX	0.60	0.10	0.06	(0.66)	0.72	(0.62)	1.04	(1.24)	4.61
GONIX	0.31	(0.02)	0.00	(0.53)	0.00	0.00	0.68	(0.68)	2.37
GSPFX	0.65	0.17	0.19	0.29	0.48	(0.74)	0.95	(1.15)	10.82

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