Locorr Macro Correlations

LFMCX Fund

USD 7.32 0.02 0.27%

The current 90-days correlation between Locorr Macro Strategies and Locorr Market Trend is -0.04 (i.e., Good diversification). The correlation of Locorr Macro 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.

Locorr Macro Correlation With Market

Weak diversification

The correlation between Locorr Macro Strategies and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Locorr Macro Strategies 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 Locorr Macro Strategies. 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 main economic indicators.

Moving together with Locorr Mutual Fund

0.79	LOTCX	Locorr Market Trend	Pair Corr
0.9	LOTAX	Locorr Market Trend	Pair Corr
1.0	LFMAX	Locorr Macro Strategies	Pair Corr
1.0	LFMIX	Locorr Macro Strategies	Pair Corr
0.87	AQMRX	Aqr Managed Futures	Pair Corr
0.85	PQTAX	Pimco Trends Managed	Pair Corr
0.85	PQTNX	Pimco Trends Managed	Pair Corr
0.78	AHLPX	American Beacon Ahl	Pair Corr
0.77	AMFNX	Asg Managed Futures	Pair Corr
0.88	ABYCX	Abbey Capital Futures	Pair Corr
0.83	ABYAX	Abbey Capital Futures	Pair Corr
0.83	ABYIX	Abbey Capital Futures	Pair Corr
0.83	AMFAX	Asg Managed Futures	Pair Corr
0.77	ASFYX	Asg Managed Futures	Pair Corr
0.81	CII	Blackrock Enhanced	Pair Corr
0.7	ETV	Eaton Vance Tax	Pair Corr
0.65	CLM	Cornerstone Strategic	Pair Corr
0.71	ETY	Eaton Vance Tax	Pair Corr
0.75	FYBTX	Fidelity Series Short	Pair Corr
0.74	CEARX	Columbia Acorn	Pair Corr
0.63	TORTX	Tortoise Mlp Pipeline	Pair Corr
0.87	GSFRX	Goldman Sachs High	Pair Corr

Moving against Locorr Mutual Fund

0.72	LCSAX	Locorr Longshort Modities	Pair Corr
0.69	LCSCX	Locorr Longshort Modities	Pair Corr
0.63	LCSIX	Locorr Longshort Modities	Pair Corr
0.7	IFN	India Closed	Pair Corr

Related Correlations Analysis

	LOTCX	LOTAX	LOTIX	LSPCX	LSPAX	LSPIX	LCSAX	LCSCX	LCSIX	LEQCX
LOTCX		0.81	0.0	-0.1	-0.05	-0.06	-0.69	-0.71	-0.7	0.58	LOTCX
LOTAX	0.81		0.0	0.0	0.04	0.04	-0.69	-0.7	-0.67	0.63	LOTAX
LOTIX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	LOTIX
LSPCX	-0.1	0.0	0.0		0.92	1.0	0.41	0.47	0.53	0.18	LSPCX
LSPAX	-0.05	0.04	0.0	0.92		0.91	0.46	0.51	0.54	0.24	LSPAX
LSPIX	-0.06	0.04	0.0	1.0	0.91		0.38	0.44	0.5	0.2	LSPIX
LCSAX	-0.69	-0.69	0.0	0.41	0.46	0.38		0.95	0.92	-0.44	LCSAX
LCSCX	-0.71	-0.7	0.0	0.47	0.51	0.44	0.95		0.95	-0.45	LCSCX
LCSIX	-0.7	-0.67	0.0	0.53	0.54	0.5	0.92	0.95		-0.45	LCSIX
LEQCX	0.58	0.63	0.0	0.18	0.24	0.2	-0.44	-0.45	-0.45		LEQCX
	LOTCX	LOTAX	LOTIX	LSPCX	LSPAX	LSPIX	LCSAX	LCSCX	LCSIX	LEQCX

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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

LSPIX	+ 1.0	LSPCX
LCSCX	+ 0.95	LCSAX
LCSIX	+ 0.95	LCSCX
LSPAX	+ 0.92	LSPCX
LCSIX	+ 0.92	LCSAX
LSPIX	+ 0.91	LSPAX

High negative correlations

LCSCX	- 0.71	LOTCX
LCSCX	- 0.7	LOTAX
LCSIX	- 0.7	LOTCX
LCSAX	- 0.69	LOTAX
LCSAX	- 0.69	LOTCX
LCSIX	- 0.67	LOTAX

Risk-Adjusted Indicators

There is a big difference between Locorr Mutual Fund performing well and Locorr Macro 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 Locorr Macro'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
LOTCX	0.54	0.07	0.09	1.39	0.61	(0.60)	1.01	(0.98)	3.31
LOTAX	0.53	0.06	0.08	0.16	0.61	(0.59)	1.02	(0.91)	3.19
LOTIX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LSPCX	0.47	0.01	0.03	0.04	0.54	(0.63)	0.91	(0.72)	3.10
LSPAX	0.49	0.01	0.02	0.05	0.56	(0.64)	1.08	(0.74)	3.52
LSPIX	0.49	0.02	0.02	0.04	0.56	(0.67)	0.94	(0.74)	3.35
LCSAX	0.37	(0.05)	0.00	(2.12)	0.00	0.00	0.70	(0.68)	2.86
LCSCX	0.36	(0.06)	0.00	(0.78)	0.00	0.00	0.74	(0.71)	2.90
LCSIX	0.36	(0.05)	0.00	2.93	0.00	0.00	0.69	(0.78)	2.83
LEQCX	0.41	0.05	0.09	0.31	0.42	(0.45)	0.87	(0.71)	2.97

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