Gotham Enhanced Correlations

GENIX Fund

USD 14.77 0.12 0.81%

The current 90-days correlation between Gotham Enhanced Return and Gotham Total Return is 0.13 (i.e., Average 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

Almost no diversification

The correlation between Gotham Enhanced Return and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Enhanced 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 Enhanced 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

0.92	GVALX	Gotham Large Value	Pair Corr
0.97	GINDX	Gotham Index Plus	Pair Corr
0.97	GNNDX	Gotham Index Plus	Pair Corr
0.93	GARIX	Gotham Absolute Return	Pair Corr
0.96	GSPFX	Gotham Enhanced Sp	Pair Corr
0.93	GTRFX	Gotham Total Return	Pair Corr
0.67	VIMAX	Vanguard Mid Cap	Pair Corr
0.87	VIMSX	Vanguard Mid Cap	Pair Corr
0.67	VMCPX	Vanguard Mid Cap	Pair Corr
0.67	VMCIX	Vanguard Mid Cap	Pair Corr
0.73	VEXAX	Vanguard Extended Market	Pair Corr
0.73	VEMPX	Vanguard Extended Market	Pair Corr
0.71	VIEIX	Vanguard Extended Market	Pair Corr
0.73	VEXMX	Vanguard Extended Market	Pair Corr
0.66	FSMDX	Fidelity Mid Cap	Pair Corr
0.65	PMPIX	Precious Metals Ultr Steady Growth	Pair Corr
0.65	PMPSX	Precious Metals Ultr Steady Growth	Pair Corr
0.91	FKIQX	Franklin Income	Pair Corr
0.61	SEATX	Stet Tax Advantaged	Pair Corr
0.75	NCATX	Northern California Tax	Pair Corr
0.68	NGREX	Northern Global Real	Pair Corr
0.89	IRCAX	Voya Retirement Servative	Pair Corr
0.82	GSIYX	Goldman Sachs Gqg	Pair Corr
0.76	DGLAX	Global Stock	Pair Corr
0.89	FRIAX	Franklin Income	Pair Corr
0.72	AFMBX	American Balanced	Pair Corr
0.84	DAAIX	Dunham Appreciation	Pair Corr
0.95	IXISX	Voya Index Solution	Pair Corr
0.94	TIOVX	Tiaa Cref International	Pair Corr
0.89	DRMCX	Allianzgi Mid Cap	Pair Corr
0.76	MFRFX	Mfs Research	Pair Corr
0.93	FATTX	American Funds 2045	Pair Corr
0.94	NHFIX	Northern High Yield	Pair Corr
0.81	PFUPX	Pimco Foreign Bond	Pair Corr

Moving against Gotham Mutual Fund

0.65

GONIX

Gotham Neutral

Pair Corr

Related Correlations Analysis

	GVALX	GINDX	GNNDX	GONIX	GARIX	GSPFX	GTRFX
GVALX		0.92	0.92	-0.69	0.98	0.97	0.94	GVALX
GINDX	0.92		1.0	-0.54	0.94	0.97	0.92	GINDX
GNNDX	0.92	1.0		-0.53	0.94	0.97	0.92	GNNDX
GONIX	-0.69	-0.54	-0.53		-0.57	-0.6	-0.65	GONIX
GARIX	0.98	0.94	0.94	-0.57		0.98	0.93	GARIX
GSPFX	0.97	0.97	0.97	-0.6	0.98		0.95	GSPFX
GTRFX	0.94	0.92	0.92	-0.65	0.93	0.95		GTRFX
	GVALX	GINDX	GNNDX	GONIX	GARIX	GSPFX	GTRFX

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
GARIX	+ 0.98	GVALX
GSPFX	+ 0.98	GARIX
GSPFX	+ 0.97	GVALX
GSPFX	+ 0.97	GINDX
GSPFX	+ 0.97	GNNDX

High negative correlations

GONIX	- 0.69	GVALX
GTRFX	- 0.65	GONIX
GSPFX	- 0.6	GONIX
GARIX	- 0.57	GONIX
GONIX	- 0.54	GINDX
GONIX	- 0.53	GNNDX

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
GVALX	0.77	0.31	0.43	0.52	0.00	(1.02)	1.59	(1.01)	13.18
GINDX	0.65	0.08	0.03	1.83	0.89	(0.62)	1.41	(1.43)	4.57
GNNDX	0.65	0.08	0.03	1.76	0.89	(0.62)	1.42	(1.44)	4.61
GONIX	0.27	(0.05)	0.00	(1.65)	0.00	0.00	0.54	(0.54)	2.37
GARIX	0.51	0.11	0.10	0.39	0.38	(0.58)	0.92	(0.95)	7.97
GSPFX	0.70	0.19	0.15	9.61	0.59	(0.78)	1.26	(1.52)	10.82
GTRFX	0.99	0.24	0.11	0.70	1.36	(1.30)	1.20	(1.27)	23.39

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