Grant Park Correlations

GPAAX Fund  USD 10.63  0.02  0.19%   
The current 90-days correlation between Grant Park Multi and Pimco Trends Managed is 0.18 (i.e., Average diversification). The correlation of Grant Park 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.

Grant Park Correlation With Market

Weak diversification

The correlation between Grant Park Multi and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi 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 Grant Park Multi. 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 nation.

Moving together with Grant Mutual Fund

  1.0GPACX Grant Park MultiPairCorr
  1.0GPAIX Grant Park MultiPairCorr
  1.0GPANX Grant Park MultiPairCorr
  0.78PQTAX Pimco Trends ManagedPairCorr
  0.78PQTNX Pimco Trends ManagedPairCorr
  0.63AHLPX American Beacon AhlPairCorr
  0.94AMFNX Asg Managed FuturesPairCorr
  0.89ABYCX Abbey Capital FuturesPairCorr
  0.85ABYAX Abbey Capital FuturesPairCorr
  0.83ABYIX Abbey Capital FuturesPairCorr
  0.94AMFAX Asg Managed FuturesPairCorr
  0.95ASFYX Asg Managed FuturesPairCorr
  0.77PFHCX Pacific Funds SmallPairCorr
  0.68VEMBX Vanguard Emerging MarketsPairCorr
  0.7KO Coca Cola Fiscal Year End 11th of February 2025 PairCorr
  0.78MRK Merck Company Fiscal Year End 6th of February 2025 PairCorr

Moving against Grant Mutual Fund

  0.65ACP Aberdeen Income CreditPairCorr
  0.54ELFNX Elfun Trusts ElfunPairCorr
  0.37RGGEX American Funds GlobalPairCorr
  0.35AMECX Income FundPairCorr
  0.68CSCO Cisco SystemsPairCorr
  0.63AA Alcoa Corp Fiscal Year End 15th of January 2025 PairCorr
  0.61BAC Bank of America Fiscal Year End 10th of January 2025 PairCorr
  0.59HPQ HP IncPairCorr
  0.54TRV The Travelers Companies Fiscal Year End 17th of January 2025 PairCorr
  0.49AXP American Express Fiscal Year End 24th of January 2025 PairCorr
  0.46CAT Caterpillar Fiscal Year End 3rd of February 2025 PairCorr
  0.42T ATT Inc Fiscal Year End 22nd of January 2025 PairCorr
  0.39HD Home DepotPairCorr
  0.35WMT Walmart Aggressive PushPairCorr

Related Correlations Analysis

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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   
PQTNXPQTAX
SEGI70082LAB3
XTWYXTWO
VIASPSCRYY
70082LAB3VIASP
XTWOPQTAX
  
High negative correlations   
SEGIXTWY
XTWY70082LAB3
SEGIXTWO
70082LAB3XTWO
SVIIXTWO
SVIIPQTAX

Risk-Adjusted Indicators

There is a big difference between Grant Mutual Fund performing well and Grant Park 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 Grant Park'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
PQTAX  0.47 (0.02) 0.00  1.49  0.00 
 0.90 
 2.35 
PQTNX  0.48 (0.02) 0.00  2.74  0.00 
 0.89 
 2.31 
SCRYY  1.93  0.45  0.12 (0.71) 1.74 
 5.61 
 12.99 
MSTSX  0.45 (0.01)(0.11) 0.10  0.39 
 1.21 
 2.80 
VIASP  0.75  0.10 (0.02)(1.58) 1.11 
 2.28 
 7.18 
XTWO  0.08 (0.01) 0.00  1.07  0.00 
 0.14 
 0.55 
SVII  0.18  0.00 (0.17) 0.24  0.39 
 0.44 
 4.77 
70082LAB3  0.70  0.09 (0.03)(0.69) 0.99 
 1.75 
 6.86 
XTWY  0.76 (0.10) 0.00  0.98  0.00 
 1.33 
 5.49 
SEGI  10.19  2.80  0.16 (1.15) 9.90 
 28.57 
 62.86