Gotham Enhanced Correlations

GEFPX Fund

USD 16.11 0.06 0.37%

The current 90-days correlation between Gotham Enhanced 500 and Pgim Jennison Diversified is 0.86 (i.e., Very poor diversification). The correlation of Gotham Enhanced 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 Enhanced Correlation With Market

Very poor diversification

The correlation between Gotham Enhanced 500 and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Enhanced 500 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 Enhanced 500. 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 american community survey.

Moving together with Gotham Mutual Fund

0.95	GCHDX	Gotham Hedged E	Pair Corr
0.8	GDLFX	Gotham Defensive Long	Pair Corr
0.96	GVALX	Gotham Large Value	Pair Corr
0.97	GENIX	Gotham Enhanced Return	Pair Corr
1.0	GINDX	Gotham Index Plus	Pair Corr
1.0	GNNDX	Gotham Index Plus	Pair Corr
0.69	GONIX	Gotham Neutral	Pair Corr
0.91	GARIX	Gotham Absolute Return	Pair Corr
1.0	GSPFX	Gotham Enhanced Sp	Pair Corr
0.97	GTRFX	Gotham Total Return	Pair Corr
0.95	VVIAX	Vanguard Value Index	Pair Corr
0.92	DOXGX	Dodge Cox Stock	Pair Corr
0.92	AFMFX	American Mutual	Pair Corr
0.91	FFMMX	American Funds American	Pair Corr
0.92	FFFMX	American Funds American	Pair Corr
0.91	AMRMX	American Mutual	Pair Corr
0.87	AMFFX	American Mutual	Pair Corr
0.86	AMFCX	American Mutual	Pair Corr
0.97	DODGX	Dodge Stock Fund	Pair Corr
0.95	VIVAX	Vanguard Value Index	Pair Corr
0.87	KMKCX	Kinetics Market Oppo Steady Growth	Pair Corr
0.9	KSCYX	Kinetics Small Cap Steady Growth	Pair Corr
0.88	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.72	LETRX	Voya Russia Fund	Pair Corr
0.88	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.88	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.9	KSOCX	Kinetics Small Cap Steady Growth	Pair Corr
0.85	KINCX	Kinetics Internet	Pair Corr
0.9	KSCOX	Kinetics Small Cap Steady Growth	Pair Corr
0.89	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.96	VFIAX	Vanguard 500 Index	Pair Corr
0.98	ASTZX	Astor Long/short	Pair Corr
0.72	SGPGX	Sgi Prudent Growth	Pair Corr
0.95	VMIDX	Mid Cap Index	Pair Corr
0.77	JHYFX	Janus High Yield	Pair Corr
0.77	PFN	Pimco Income Strategy	Pair Corr
0.86	WWLAX	Westwood Largecap Value	Pair Corr
0.99	MIEYX	Mm Sp 500	Pair Corr

Related Correlations Analysis

	TBDQX	RTOUX	MDSKX	GABSX	USCAX	ACDOX
TBDQX		0.85	0.88	0.49	0.77	-0.7	TBDQX
RTOUX	0.85		0.93	0.46	0.98	-0.63	RTOUX
MDSKX	0.88	0.93		0.47	0.9	-0.66	MDSKX
GABSX	0.49	0.46	0.47		0.5	0.01	GABSX
USCAX	0.77	0.98	0.9	0.5		-0.53	USCAX
ACDOX	-0.7	-0.63	-0.66	0.01	-0.53		ACDOX
	TBDQX	RTOUX	MDSKX	GABSX	USCAX	ACDOX

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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

USCAX	+ 0.98	RTOUX
MDSKX	+ 0.93	RTOUX
USCAX	+ 0.9	MDSKX
MDSKX	+ 0.88	TBDQX
RTOUX	+ 0.85	TBDQX
USCAX	+ 0.77	TBDQX

High negative correlations

ACDOX	- 0.7	TBDQX
ACDOX	- 0.66	MDSKX
ACDOX	- 0.63	RTOUX
ACDOX	- 0.53	USCAX

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Enhanced 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 Enhanced'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
TBDQX	0.74	(0.01)	(0.01)	0.11	1.10	(0.67)	1.67	(2.39)	5.04
RTOUX	0.80	0.10	0.00	0.81	0.84	(0.88)	1.78	(1.45)	6.26
MDSKX	0.94	(0.05)	0.01	0.09	0.94	(1.02)	2.08	(1.62)	7.61
GABSX	0.84	(0.13)	(0.05)	0.03	1.44	(0.81)	1.68	(1.35)	8.80
USCAX	0.93	0.08	(0.01)	0.53	0.94	(1.11)	2.07	(1.70)	7.45
ACDOX	0.23	(0.02)	0.00	0.40	0.00	0.00	0.44	(0.54)	1.39

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