Grant Park Correlations

GPAIX Fund

USD 10.68 0.02 0.19%

The current 90-days correlation between Grant Park Multi and Mirova Global Green is -0.16 (i.e., Good 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

Significant diversification

The correlation between Grant Park Multi and DJI is 0.02 (i.e., Significant 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 gross domestic product.

Moving together with Grant Mutual Fund

1.0	GPAAX	Grant Park Multi	Pair Corr
1.0	GPACX	Grant Park Multi	Pair Corr
1.0	GPANX	Grant Park Multi	Pair Corr
0.79	AQMRX	Aqr Managed Futures	Pair Corr
0.76	AMFNX	Asg Managed Futures	Pair Corr
0.83	ABYCX	Abbey Capital Futures	Pair Corr
0.83	ABYAX	Abbey Capital Futures	Pair Corr
0.84	ABYIX	Abbey Capital Futures	Pair Corr
0.76	AMFAX	Asg Managed Futures	Pair Corr
0.76	ASFYX	Asg Managed Futures	Pair Corr
0.75	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.79	DNMDX	Dunham Monthly Distr	Pair Corr
0.73	JHYUX	Jpmorgan High Yield	Pair Corr
0.78	ECSIX	Eaton Vance Short	Pair Corr
0.74	FAGIX	Fidelity Capital Income	Pair Corr
0.87	MLCIX	Bmo Large Cap	Pair Corr
0.81	BRASX	Bats Series S	Pair Corr
0.88	GPICX	Guidepath Conservative	Pair Corr
0.61	LBHYX	Thrivent High Yield	Pair Corr
0.83	TFLAX	Transamerica Floating	Pair Corr

Moving against Grant Mutual Fund

0.61	SMPSX	Semiconductor Ultrasector	Pair Corr
0.54	SMPIX	Semiconductor Ultrasector	Pair Corr
0.4	RMQAX	Monthly Rebalance	Pair Corr
0.39	RMQHX	Monthly Rebalance	Pair Corr

Related Correlations Analysis

	MGGNX	CNGLX	MFIRX	DBIWX	ANAZX
MGGNX		0.64	0.42	0.35	0.88	MGGNX
CNGLX	0.64		0.02	0.68	0.65	CNGLX
MFIRX	0.42	0.02		0.22	0.5	MFIRX
DBIWX	0.35	0.68	0.22		0.57	DBIWX
ANAZX	0.88	0.65	0.5	0.57		ANAZX
	MGGNX	CNGLX	MFIRX	DBIWX	ANAZX

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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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MGGNX	0.16	(0.02)	0.00	(0.34)	0.00	0.00	0.35	(0.35)	1.05
CNGLX	0.55	(0.04)	0.00	(0.04)	0.00	0.00	1.17	(1.34)	5.09
MFIRX	0.10	0.01	(0.32)	0.44	0.00	(0.23)	0.19	(0.19)	0.77
DBIWX	0.25	(0.01)	(0.21)	(0.69)	0.38	(0.25)	0.49	(0.69)	1.86
ANAZX	0.18	(0.01)	(0.39)	(0.27)	0.17	(0.29)	0.29	(0.29)	1.31

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