Floating Rate Correlations

LRRTX Fund

USD 8.05 0.02 0.25%

The current 90-days correlation between Floating Rate and Growth Allocation Fund is 0.14 (i.e., Average 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 0.81 (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 various price indices.

Moving together with Floating Mutual Fund

0.66	ELMFX	Lord Abbett Trust	Pair Corr
0.65	ELMCX	Lord Abbett Trust	Pair Corr
0.88	LFSFX	Lord Abbett Focused	Pair Corr
0.99	LFRAX	Floating Rate	Pair Corr
1.0	LFRFX	Floating Rate	Pair Corr
1.0	LFRIX	Floating Rate	Pair Corr
0.99	LFRRX	Lord Abbett Inv	Pair Corr
1.0	LFROX	Lord Abbett Floating	Pair Corr
0.93	LHYOX	Lord Abbett High	Pair Corr
0.8	LIGFX	Lord Abbett Diversified	Pair Corr
0.81	LIFAX	Lord Abbett Inflation	Pair Corr
0.77	LINJX	Lord Abbett New	Pair Corr
0.83	LOISX	Lord Abbett Intermediate	Pair Corr
0.9	LOLDX	Lord Abbett Short	Pair Corr
0.99	LRRKX	Floating Rate	Pair Corr
1.0	LRRRX	Floating Rate	Pair Corr
1.0	LRRVX	Floating Rate	Pair Corr
0.87	LRSOX	Lord Abbett Small	Pair Corr
0.9	LAAFX	Lord Abbett Affiliated	Pair Corr
0.99	LARCX	Floating Rate	Pair Corr
0.88	OOSYX	Oppenheimer Senior	Pair Corr
0.9	OOSIX	Oppenheimer Senior	Pair Corr
0.9	EKWDX	Wells Fargo Advantage	Pair Corr
0.82	PMPIX	Precious Metals Ultr	Pair Corr
0.82	PMPSX	Precious Metals Ultr	Pair Corr
0.93	PTLCX	Low Duration	Pair Corr
0.85	SCWFX	Smallcap World	Pair Corr
0.83	ACOAX	Strategic Allocation:	Pair Corr
0.77	PHYSX	Pia High Yield	Pair Corr
0.74	TRAMX	T Rowe Price	Pair Corr
0.82	MAAHX	Mfs Aggressive Growth	Pair Corr
0.66	IPSHX	Pinnacle Sherman Multi	Pair Corr
0.83	ARTIX	Artisan International	Pair Corr

Moving against Floating Mutual Fund

0.44

CISGX

Touchstone Sands Capital

Pair Corr

Related Correlations Analysis

	LMBMX	VOLMX	AUERX	EICVX	OPTCX	VPCCX	GGRYX
LMBMX		0.92	0.94	0.92	0.96	0.96	0.93	LMBMX
VOLMX	0.92		0.83	0.85	0.95	0.88	0.85	VOLMX
AUERX	0.94	0.83		0.94	0.92	0.93	0.92	AUERX
EICVX	0.92	0.85	0.94		0.94	0.87	0.95	EICVX
OPTCX	0.96	0.95	0.92	0.94		0.91	0.93	OPTCX
VPCCX	0.96	0.88	0.93	0.87	0.91		0.88	VPCCX
GGRYX	0.93	0.85	0.92	0.95	0.93	0.88		GGRYX
	LMBMX	VOLMX	AUERX	EICVX	OPTCX	VPCCX	GGRYX

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
LMBMX	0.89	0.13	0.11	0.16	0.92	(0.98)	2.18	(1.80)	7.43
VOLMX	0.53	0.01	0.00	0.04	0.60	(0.59)	1.30	(0.92)	3.45
AUERX	0.89	0.34	0.33	0.68	0.49	(1.15)	1.77	(1.39)	12.63
EICVX	0.66	0.18	0.27	0.25	0.19	(0.77)	1.31	(0.84)	8.80
OPTCX	0.13	0.00	(0.13)	0.05	0.04	(0.19)	0.30	(0.20)	1.00
VPCCX	1.01	0.43	0.46	0.64	0.23	(1.29)	1.86	(1.46)	19.33
GGRYX	0.53	0.10	0.15	0.19	0.42	(0.62)	0.91	(0.96)	8.85

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