Lgm Risk Correlations

LBETX Fund

USD 11.44 0.02 0.18%

The current 90-days correlation between Lgm Risk Managed and 1290 Multi Alternative Strategies is -0.1 (i.e., Good diversification). The correlation of Lgm Risk 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.

Lgm Risk Correlation With Market

Poor diversification

The correlation between Lgm Risk Managed and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lgm Risk Managed and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lgm Risk Managed. 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 population.

Moving together with Lgm Mutual Fund

0.62	SMPIX	Semiconductor Ultrasector	Pair Corr
0.64	SMPSX	Semiconductor Ultrasector	Pair Corr
0.77	LFRIX	Floating Rate	Pair Corr
0.65	JCMVX	Jpmorgan Mid Cap	Pair Corr
0.64	TRIIX	Catalystsmh Total Return	Pair Corr
0.82	GLVYX	Oppenheimer Global Val	Pair Corr
0.84	BRGAX	Blckrck Fdsiii Rssll	Pair Corr

Related Correlations Analysis

	RFNCX	BWLIX	BRMPX	TRULX	PLMPX	RDVIX	GYIRX	GABSX	TNMAX
RFNCX		0.92	0.94	0.76	0.81	-0.39	0.65	0.85	0.85	RFNCX
BWLIX	0.92		0.95	0.86	0.94	-0.35	0.79	0.97	0.93	BWLIX
BRMPX	0.94	0.95		0.8	0.9	-0.28	0.78	0.89	0.91	BRMPX
TRULX	0.76	0.86	0.8		0.73	-0.35	0.52	0.78	0.72	TRULX
PLMPX	0.81	0.94	0.9	0.73		-0.17	0.85	0.92	0.96	PLMPX
RDVIX	-0.39	-0.35	-0.28	-0.35	-0.17		-0.02	-0.34	-0.18	RDVIX
GYIRX	0.65	0.79	0.78	0.52	0.85	-0.02		0.83	0.83	GYIRX
GABSX	0.85	0.97	0.89	0.78	0.92	-0.34	0.83		0.92	GABSX
TNMAX	0.85	0.93	0.91	0.72	0.96	-0.18	0.83	0.92		TNMAX
	RFNCX	BWLIX	BRMPX	TRULX	PLMPX	RDVIX	GYIRX	GABSX	TNMAX

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

GABSX	+ 0.97	BWLIX
TNMAX	+ 0.96	PLMPX
BRMPX	+ 0.95	BWLIX
BRMPX	+ 0.94	RFNCX
PLMPX	+ 0.94	BWLIX
TNMAX	+ 0.93	BWLIX

High negative correlations

RDVIX	- 0.39	RFNCX
RDVIX	- 0.35	TRULX
RDVIX	- 0.35	BWLIX
GABSX	- 0.34	RDVIX
RDVIX	- 0.28	BRMPX
TNMAX	- 0.18	RDVIX

Risk-Adjusted Indicators

There is a big difference between Lgm Mutual Fund performing well and Lgm Risk 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 Lgm Risk'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
RFNCX	0.65	0.04	0.03	0.13	0.82	(0.63)	1.14	(1.31)	3.96
BWLIX	0.64	0.11	0.13	0.21	0.45	(0.76)	1.64	(1.27)	4.51
BRMPX	0.32	0.06	0.01	0.28	0.09	(0.38)	0.66	(0.58)	3.13
TRULX	0.71	0.24	0.31	0.38	0.00	(0.89)	1.25	(0.98)	10.39
PLMPX	0.20	0.07	(0.06)	0.97	0.00	(0.29)	0.52	(0.26)	1.16
RDVIX	2.06	(0.71)	0.00	1.40	0.00	0.00	2.28	(1.60)	63.46
GYIRX	0.10	0.02	(0.36)	(2.56)	0.00	(0.17)	0.22	(0.11)	0.89
GABSX	0.73	0.14	0.19	0.23	0.40	(0.83)	2.33	(1.15)	4.50
TNMAX	0.40	0.13	0.04	(0.81)	0.40	(0.46)	0.91	(0.78)	2.99

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