Floating Rate Correlations

LRRKX Fund

USD 8.04 0.02 0.25%

The current 90-days correlation between Floating Rate and Payden Government Fund is 0.47 (i.e., Very weak diversification). The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Very poor diversification

The correlation between Floating Rate Fund and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Fund 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 Floating Rate 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 industry.

Moving together with Floating Mutual Fund

0.65	ELMFX	Lord Abbett Trust	Pair Corr
0.64	ELMCX	Lord Abbett Trust	Pair Corr
0.9	LFSFX	Lord Abbett Focused	Pair Corr
0.98	LFRAX	Floating Rate	Pair Corr
1.0	LFRFX	Floating Rate	Pair Corr
0.99	LFRIX	Floating Rate	Pair Corr
1.0	LFRRX	Lord Abbett Inv	Pair Corr
0.98	LFROX	Lord Abbett Floating	Pair Corr
0.88	LFVAX	Lord Abbett Focused	Pair Corr
0.9	LFVCX	Lord Abbett Focused	Pair Corr
0.67	HYMOX	Lord Abbett High	Pair Corr
0.92	HYMQX	Lord Abbett Short	Pair Corr
0.7	HYMAX	Lord Abbett High	Pair Corr
0.73	HYMFX	Lord Abbett High	Pair Corr
0.72	HYMIX	Lord Abbett High	Pair Corr
0.69	LGCAX	Lord Abbett Global	Pair Corr
0.69	LGCFX	Lord Abbett Global	Pair Corr
0.68	LGCCX	Lord Abbett Global	Pair Corr
0.69	LGCRX	Lord Abbett Global	Pair Corr
0.7	LGCOX	Lord Abbett Global	Pair Corr
0.7	LGCVX	Lord Abbett Global	Pair Corr
0.69	LGCSX	Lord Abbett Global	Pair Corr
0.7	LGCYX	Lord Abbett Global	Pair Corr
0.7	LGCWX	Lord Abbett Global	Pair Corr
0.65	EMILX	Lord Abbett Emerging	Pair Corr
0.61	LGOQX	Lord Abbett Growth	Pair Corr

Moving against Floating Mutual Fund

0.36

LGLIX

Lord Abbett Growth

Pair Corr

Related Correlations Analysis

	FCSCX	SIGVX	CGTFX	TWACX	SSAGX	PYUSX
FCSCX		0.95	0.62	0.94	0.95	0.91	FCSCX
SIGVX	0.95		0.61	0.92	0.99	0.91	SIGVX
CGTFX	0.62	0.61		0.73	0.61	0.83	CGTFX
TWACX	0.94	0.92	0.73		0.92	0.92	TWACX
SSAGX	0.95	0.99	0.61	0.92		0.91	SSAGX
PYUSX	0.91	0.91	0.83	0.92	0.91		PYUSX
	FCSCX	SIGVX	CGTFX	TWACX	SSAGX	PYUSX

Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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
FCSCX	0.05	0.00	(0.43)	(0.15)	0.00	(0.20)	0.13	(0.13)	0.53
SIGVX	0.07	0.01	(0.54)	1.43	0.00	(0.14)	0.10	(0.10)	0.51
CGTFX	0.12	(0.01)	(0.36)	(0.22)	0.15	(0.15)	0.25	(0.25)	0.66
TWACX	0.05	0.00	(0.53)	(0.15)	0.00	(0.14)	0.11	(0.11)	0.33
SSAGX	0.05	0.00	0.00	0.00	0.00	0.00	0.10	(0.10)	0.51
PYUSX	0.08	0.00	(0.52)	(0.37)	0.00	(0.15)	0.21	(0.11)	0.53

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