Holbrook Income Correlations

HOBIX Fund

USD 9.76 0.00 0.00%

The current 90-days correlation between Holbrook Income and Jennison Natural Resources is -0.09 (i.e., Good diversification). The correlation of Holbrook Income 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.

Holbrook Income Correlation With Market

Good diversification

The correlation between Holbrook Income Fund and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Holbrook Income Fund 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 Holbrook Income Fund. 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 Holbrook Mutual Fund

0.98	HOBAX	Holbrook Income	Pair Corr
0.99	HOBEX	Holbrook Income	Pair Corr
0.76	HOSAX	Holbrook Structured	Pair Corr
0.77	HOSIX	Holbrook Structured	Pair Corr
0.75	HOSTX	Holbrook Structured	Pair Corr
0.66	VBIRX	Vanguard Short Term	Pair Corr
0.69	LALDX	Lord Abbett Short	Pair Corr
0.67	LDLAX	Lord Abbett Short	Pair Corr
0.67	LDLRX	Lord Abbett Short	Pair Corr
0.67	OLCAX	Oppenheimer Rochester	Pair Corr
0.62	CFSTX	Short Term	Pair Corr
0.74	FAIRX	Fairholme Fund	Pair Corr

Moving against Holbrook Mutual Fund

0.35

ARKVX

Ark Venture Fund

Pair Corr

Related Correlations Analysis

	PNRCX	ICBAX	IEFCX	BACCX	ALEFX	ALTEX	GMOWX	PEO
PNRCX		0.91	0.48	0.55	0.88	0.37	0.61	0.76	PNRCX
ICBAX	0.91		0.42	0.42	0.88	0.41	0.63	0.66	ICBAX
IEFCX	0.48	0.42		0.84	0.56	-0.38	0.81	0.83	IEFCX
BACCX	0.55	0.42	0.84		0.54	-0.32	0.62	0.93	BACCX
ALEFX	0.88	0.88	0.56	0.54		0.2	0.66	0.73	ALEFX
ALTEX	0.37	0.41	-0.38	-0.32	0.2		-0.02	-0.12	ALTEX
GMOWX	0.61	0.63	0.81	0.62	0.66	-0.02		0.71	GMOWX
PEO	0.76	0.66	0.83	0.93	0.73	-0.12	0.71		PEO
	PNRCX	ICBAX	IEFCX	BACCX	ALEFX	ALTEX	GMOWX	PEO

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

PEO	+ 0.93	BACCX
ICBAX	+ 0.91	PNRCX
ALEFX	+ 0.88	PNRCX
ALEFX	+ 0.88	ICBAX
BACCX	+ 0.84	IEFCX
PEO	+ 0.83	IEFCX

High negative correlations

ALTEX	- 0.38	IEFCX
ALTEX	- 0.32	BACCX
PEO	- 0.12	ALTEX
GMOWX	- 0.02	ALTEX

Risk-Adjusted Indicators

There is a big difference between Holbrook Mutual Fund performing well and Holbrook Income 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 Holbrook Income'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
PNRCX	1.14	0.10	0.07	0.16	1.39	(1.16)	2.24	(2.62)	6.77
ICBAX	1.32	0.12	0.12	0.15	1.14	(1.60)	3.34	(1.94)	11.98
IEFCX	0.84	0.05	(0.01)	0.30	1.06	(0.85)	1.74	(1.28)	4.81
BACCX	0.71	0.04	(0.01)	0.16	0.80	(0.77)	1.41	(1.21)	4.05
ALEFX	0.93	0.16	0.15	0.29	0.67	(1.17)	1.31	(1.43)	19.24
ALTEX	1.85	0.11	0.06	0.14	2.17	(1.91)	4.23	(4.62)	14.65
GMOWX	0.98	0.07	0.00	0.89	1.25	(1.03)	2.02	(2.39)	6.41
PEO	0.74	0.05	0.02	0.18	0.77	(0.75)	1.42	(1.39)	4.03

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