Floating Rate Correlations

Mutual Funds . USA . 
Fund . Floating Rate Fund
LRRKX Fund  USD 7.92  0.01  0.13%   
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

Poor diversification

The correlation between Floating Rate Fund and DJI is 0.61 (i.e., 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

  0.96LFRAX Floating RatePairCorr
  0.99LFRFX Floating RatePairCorr
  0.98LFRIX Floating RatePairCorr
  0.98LFRRX Lord Abbett InvPairCorr
  0.93LFROX Lord Abbett FloatingPairCorr
  0.62LGCAX Lord Abbett GlobalPairCorr
  0.62LGCFX Lord Abbett GlobalPairCorr
  0.62LGCCX Lord Abbett GlobalPairCorr
  0.62LGCRX Lord Abbett GlobalPairCorr
  0.62LGCOX Lord Abbett GlobalPairCorr
  0.62LGCVX Lord Abbett GlobalPairCorr
  0.62LGCSX Lord Abbett GlobalPairCorr
  0.62LGCYX Lord Abbett GlobalPairCorr
  0.62LGCWX Lord Abbett GlobalPairCorr
  0.65LGOFX Lord Abbett GrowthPairCorr
  0.64LGOQX Lord Abbett GrowthPairCorr
  0.64LGORX Lord Abbett GrowthPairCorr

Moving against Floating Mutual Fund

  0.32LHCAX Lord Abbett HealthPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
ELMFX  0.79  0.33  0.24 (1.95) 0.40 
(0.93)
 2.24 
(1.02)
 4.12 
ELMCX  0.79  0.33  0.24 (2.01) 0.39 
(0.95)
 2.22 
(1.03)
 4.21 
LFSFX  0.87  0.20  0.27  0.27  0.42 
(1.14)
 3.21 
(1.47)
 6.86 
LFRAX  0.08 (0.01)(0.74)(1.35) 0.07 
(0.23)
 0.13 
(0.13)
 0.88 
LFRFX  0.10 (0.01)(0.61)(0.29) 0.12 
(0.20)
 0.13 
(0.25)
 1.00 
LFRIX  0.08 (0.01)(0.62)(0.25) 0.09 
(0.24)
 0.13 
(0.13)
 1.01 
LFRRX  0.07 (0.01) 0.00 (0.52) 0.00 
 0.00 
 0.13 
(0.25)
 0.88 
LFROX  0.09  0.00 (0.62) 0.55  0.09 
(0.21)
 0.25 
(0.25)
 1.01 
LFVAX  0.90  0.31  0.24  2.89  0.48 
(1.14)
 3.21 
(1.49)
 7.47 
LFVCX  0.88  0.20  0.27  0.27  0.43 
(1.11)
 3.18 
(1.50)
 7.20 

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