Frost Kempner Correlations

Mutual Funds . USA . 
Fund . Frost Kempner Multi Cap
FIKDX Fund  USD 12.06  0.08  0.66%   
The current 90-days correlation between Frost Kempner Multi and Frost Kempner Multi Cap is 1.0 (i.e., No risk reduction). The correlation of Frost Kempner 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.

Frost Kempner Correlation With Market

Very poor diversification

The correlation between Frost Kempner Multi Cap and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Frost Kempner Multi Cap. 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 unemployment.

Moving together with Frost Mutual Fund

  1.0FAKDX Frost Kempner MultiPairCorr
  0.69VVIAX Vanguard Value IndexPairCorr
  0.72DOXGX Dodge Cox StockPairCorr
  0.98AFMFX American MutualPairCorr
  0.98FFMMX American Funds AmericanPairCorr
  0.98FFFMX American Funds AmericanPairCorr
  0.67AMRMX American MutualPairCorr
  0.68AMFFX American MutualPairCorr
  0.68AMFCX American MutualPairCorr
  0.72DODGX Dodge Stock FundPairCorr
  0.69VIVAX Vanguard Value IndexPairCorr
  0.63NHS Neuberger Berman HighPairCorr
  0.65JGLTX Global TechnologyPairCorr
  0.95CCAEX Future Scholar 529PairCorr
  0.86TWTCX Intermediate Term TaxPairCorr
  0.97GSHTX Goldman Sachs HighPairCorr
  0.68MLOZX Cohen Steers MlpPairCorr
  0.96RROPX American Funds RetirementPairCorr
  0.97JSCOX Perkins Small CapPairCorr
  0.92HICGX Hennessy Nerstone GrowthPairCorr
  0.72CBLSX Cb Large CapPairCorr
  0.98POGCX Putnam Growth OpportPairCorr
  0.67TEPFX American Funds TaxPairCorr
  0.97STSRX American Beacon StephensPairCorr
  0.74TPLNX Timothy Small CapPairCorr
  0.97AHITX American High IncomePairCorr
  0.75FAETX American Funds 2030PairCorr
  0.68RNPGX New PerspectivePairCorr
  0.69RSVIX Rbc Small CapPairCorr
  0.69GCSAX Goldman Sachs SmallPairCorr
  0.68CLBAX American BalancedPairCorr
  0.76VCADX Vanguard CaliforniaPairCorr
  0.66FAFCX Fidelity Advisor FinPairCorr
  0.95SEPIX Energy Basic MaterialsPairCorr
  0.62PEMGX Midcap Fund ClassPairCorr
  0.98FIJKX Fidelity Advisor FreedomPairCorr
  0.97MDAAX Mainstay Moderate EtfPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Frost Mutual Fund performing well and Frost Kempner 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 Frost Kempner'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
FAKDX  0.67  0.09  0.07  0.24  0.47 
(0.82)
 1.78 
(1.10)
 5.14 
FIKDX  0.67  0.08  0.07  0.23  0.52 
(0.80)
 1.78 
(1.10)
 5.23 
TMCLX  0.71  0.08 (0.03) 0.59  0.80 
(0.82)
 1.73 
(1.48)
 4.67 
NDVAX  0.84  0.22  0.09  4.07  0.86 
(1.01)
 2.22 
(1.80)
 6.03 
FRLPX  0.48  0.12  0.10  0.31  0.31 
(0.57)
 1.48 
(1.17)
 3.26 
AIENX  0.25  0.01 (0.35) 0.24  0.21 
(0.29)
 0.47 
(0.46)
 1.29 
RIDCX  0.33  0.15  0.02 (1.94) 0.00 
(0.38)
 0.91 
(0.56)
 2.21 
MMMSX  0.88  0.11  0.11  0.24  0.81 
(1.09)
 2.28 
(1.69)
 6.58 
RYVIX  1.49  0.09  0.02  0.28  1.63 
(1.66)
 3.09 
(2.91)
 8.56 
BTEUX  1.03  0.48  0.29 (8.56) 0.61 
(1.28)
 2.92 
(1.77)
 6.51 

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