The Arbitrage Correlations

AEDFX Fund

USD 12.51 0.02 0.16%

The current 90-days correlation between Arbitrage Event and Perritt Microcap Opportunities is 0.38 (i.e., Weak diversification). The correlation of The Arbitrage 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.

The Arbitrage Correlation With Market

Very weak diversification

The correlation between The Arbitrage Event Driven and DJI is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Event Driven and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in The Arbitrage Event Driven. 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 price.

Moving together with The Mutual Fund

0.91	ARBNX	The Arbitrage	Pair Corr
0.95	ARBFX	The Arbitrage	Pair Corr
0.92	ARBCX	The Arbitrage	Pair Corr
0.95	ARCFX	Arbitrage Credit	Pair Corr
0.91	ARGAX	The Arbitrage	Pair Corr
0.95	ACFIX	Arbitrage Credit	Pair Corr
1.0	AEDNX	Arbitrage Event	Pair Corr
0.93	AGCAX	Arbitrage Credit	Pair Corr
0.95	AGEAX	Arbitrage Event	Pair Corr
0.63	BCLPX	Blckrk Lc Cr	Pair Corr
0.73	BALPX	Blckrk Lc Cr	Pair Corr
0.8	BILPX	Blkrk Lc Cr	Pair Corr
0.86	MERIX	Merger Fund	Pair Corr
0.84	MERFX	Merger Fund	Pair Corr
0.87	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.89	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.87	VARCX	First Trust Merger	Pair Corr
0.89	TAAIX	Thrivent Aggressive	Pair Corr
0.92	TRUZX	T Rowe Price	Pair Corr
0.92	VWENX	Vanguard Wellington	Pair Corr
0.72	GURAX	Guggenheim Risk Managed	Pair Corr
0.93	DFLEX	Doubleline Flexible	Pair Corr
0.92	COIAX	Conservative Income	Pair Corr
0.73	OAKBX	Oakmark Equity And	Pair Corr
0.86	TGFRX	Tanaka Growth	Pair Corr
0.91	LEOOX	Lazard Enhanced Oppo	Pair Corr
0.86	DTBRX	Prudential Total Return	Pair Corr
0.9	JEMQX	John Hancock Emerging	Pair Corr
0.89	FSLVX	Fidelity Stock Selector	Pair Corr
0.85	GCEGX	Goldman Sachs Clean	Pair Corr
0.93	WMKGX	Wesmark Growth	Pair Corr
0.92	GAPIX	Goldman Sachs Equity	Pair Corr
0.85	BIOIX	Baron Opportunity	Pair Corr
0.87	ADNIX	Amer Beacon Ark Downward Rally	Pair Corr
0.88	BRAMX	Bats Series M	Pair Corr
0.66	DDVCX	Delaware Value	Pair Corr

Related Correlations Analysis

	PRCGX	CAMMX	TFESX	TFEQX	ICCNX	ICCIX	HIMGX	EAAAX	HDSVX	AUERX
PRCGX		-0.03	0.7	0.73	0.85	0.85	0.73	0.89	0.67	0.96	PRCGX
CAMMX	-0.03		-0.19	-0.15	-0.28	-0.28	0.33	0.1	0.57	-0.04	CAMMX
TFESX	0.7	-0.19		0.92	0.88	0.88	0.61	0.77	0.25	0.72	TFESX
TFEQX	0.73	-0.15	0.92		0.92	0.92	0.57	0.71	0.31	0.74	TFEQX
ICCNX	0.85	-0.28	0.88	0.92		1.0	0.6	0.8	0.39	0.85	ICCNX
ICCIX	0.85	-0.28	0.88	0.92	1.0		0.59	0.79	0.39	0.85	ICCIX
HIMGX	0.73	0.33	0.61	0.57	0.6	0.59		0.83	0.7	0.75	HIMGX
EAAAX	0.89	0.1	0.77	0.71	0.8	0.79	0.83		0.69	0.92	EAAAX
HDSVX	0.67	0.57	0.25	0.31	0.39	0.39	0.7	0.69		0.69	HDSVX
AUERX	0.96	-0.04	0.72	0.74	0.85	0.85	0.75	0.92	0.69		AUERX
	PRCGX	CAMMX	TFESX	TFEQX	ICCNX	ICCIX	HIMGX	EAAAX	HDSVX	AUERX

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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

ICCIX	+ 1.0	ICCNX
AUERX	+ 0.96	PRCGX
TFEQX	+ 0.92	TFESX
ICCNX	+ 0.92	TFEQX
ICCIX	+ 0.92	TFEQX
AUERX	+ 0.92	EAAAX

High negative correlations

ICCIX	- 0.28	CAMMX
ICCNX	- 0.28	CAMMX
TFESX	- 0.19	CAMMX
TFEQX	- 0.15	CAMMX
AUERX	- 0.04	CAMMX
CAMMX	- 0.03	PRCGX

Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Arbitrage 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 The Arbitrage'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
PRCGX	0.91	0.04	0.05	0.12	0.79	(1.15)	2.43	(1.45)	5.69
CAMMX	0.64	(0.13)	0.00	(0.03)	0.00	0.00	1.53	(1.02)	5.54
TFESX	0.54	0.10	0.01	(0.75)	0.65	(0.54)	1.17	(1.06)	4.10
TFEQX	0.55	(0.01)	(0.03)	0.07	0.79	(0.52)	1.19	(1.22)	4.07
ICCNX	0.52	0.03	0.01	0.13	0.59	(0.58)	1.19	(0.98)	4.09
ICCIX	0.51	0.03	0.01	0.13	0.58	(0.58)	1.23	(0.98)	4.02
HIMGX	0.01	(0.01)	0.00	(0.78)	0.00	0.00	0.00	0.00	0.21
EAAAX	0.42	0.07	(0.03)	1.60	0.34	(0.48)	1.06	(0.81)	3.14
HDSVX	0.99	(0.10)	(0.03)	0.03	1.09	(1.19)	2.50	(1.79)	8.22
AUERX	0.75	0.08	0.09	0.16	0.79	(0.87)	2.21	(1.65)	5.50

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