Lord Abbett Correlations

LGCYX Fund

USD 16.68 0.04 0.24%

The current 90-days correlation between Lord Abbett Global and Qs Defensive Growth is -0.11 (i.e., Good diversification). The correlation of Lord Abbett 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.

Lord Abbett Correlation With Market

Good diversification

The correlation between Lord Abbett Global and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Global 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 Lord Abbett Global. 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 manufacturing.

Moving together with Lord Mutual Fund

0.74	AXP	American Express	Pair Corr
0.71	BAC	Bank of America	Pair Corr
0.68	HD	Home Depot	Pair Corr

Moving against Lord Mutual Fund

0.52

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	LMLRX	VDIGX	MSSGX	AWPIX	FGTZX	AUERX	NSBCX	PIGDX
LMLRX		0.81	0.42	0.9	0.93	0.42	0.74	0.66	LMLRX
VDIGX	0.81		0.23	0.72	0.75	0.16	0.68	0.45	VDIGX
MSSGX	0.42	0.23		0.37	0.7	0.93	0.78	-0.21	MSSGX
AWPIX	0.9	0.72	0.37		0.83	0.43	0.62	0.71	AWPIX
FGTZX	0.93	0.75	0.7	0.83		0.67	0.89	0.42	FGTZX
AUERX	0.42	0.16	0.93	0.43	0.67		0.74	-0.14	AUERX
NSBCX	0.74	0.68	0.78	0.62	0.89	0.74		0.11	NSBCX
PIGDX	0.66	0.45	-0.21	0.71	0.42	-0.14	0.11		PIGDX
	LMLRX	VDIGX	MSSGX	AWPIX	FGTZX	AUERX	NSBCX	PIGDX

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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

FGTZX	+ 0.93	LMLRX
AUERX	+ 0.93	MSSGX
AWPIX	+ 0.9	LMLRX
NSBCX	+ 0.89	FGTZX
FGTZX	+ 0.83	AWPIX
VDIGX	+ 0.81	LMLRX

High negative correlations

PIGDX	- 0.21	MSSGX
PIGDX	- 0.14	AUERX

Risk-Adjusted Indicators

There is a big difference between Lord Mutual Fund performing well and Lord Abbett 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 Lord Abbett'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
LMLRX	0.33	0.01	0.00	(0.05)	0.00	0.00	0.61	(0.69)	2.17
VDIGX	0.60	(0.01)	0.00	(0.09)	0.00	0.00	0.95	(1.44)	3.57
MSSGX	1.79	(0.09)	0.00	(0.14)	0.00	0.00	3.70	(3.91)	10.50
AWPIX	0.70	0.02	0.00	(0.04)	0.00	0.00	1.45	(1.57)	4.44
FGTZX	0.61	(0.01)	0.00	(0.08)	0.00	0.00	1.01	(1.25)	3.38
AUERX	0.84	(0.06)	0.00	(0.15)	0.00	0.00	1.57	(2.24)	4.19
NSBCX	0.74	(0.11)	0.00	(0.21)	0.00	0.00	1.03	(1.54)	5.00
PIGDX	0.82	0.09	0.09	0.07	1.12	(0.85)	1.84	(1.68)	7.09

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