Gotham Absolute Correlations

Mutual Funds . USA . 
Fund . Gotham Absolute Return
GARIX Fund  USD 21.50  0.05  0.23%   
The current 90-days correlation between Gotham Absolute Return and Gotham Hedged E is -0.09 (i.e., Good diversification). The correlation of Gotham Absolute 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.

Gotham Absolute Correlation With Market

Very poor diversification

The correlation between Gotham Absolute Return and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Absolute Return and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Gotham Absolute Return. 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 gross domestic product.

Moving together with Gotham Mutual Fund

  0.98GCHDX Gotham Hedged EPairCorr
  0.98GDLFX Gotham Defensive LongPairCorr
  0.95GVALX Gotham Large ValuePairCorr
  0.97GEFPX Gotham Enhanced 500PairCorr
  0.99GENIX Gotham Enhanced ReturnPairCorr
  0.97GINDX Gotham Index PlusPairCorr
  0.97GNNDX Gotham Index PlusPairCorr
  0.94GONIX Gotham NeutralPairCorr
  0.97GSPFX Gotham Enhanced SpPairCorr
  0.98GTRFX Gotham Total ReturnPairCorr
  0.89NLSCX Neuberger Berman LongPairCorr
  0.9NLSAX Neuberger Berman LongPairCorr
  0.9NLSIX Neuberger Berman LongPairCorr
  0.97QLERX Aqr Long ShortPairCorr
  0.98DHLSX Diamond Hill LongPairCorr
  0.98DIAYX Diamond Hill LongPairCorr
  0.98DIAMX Diamond Hill LongPairCorr
  0.94ASLAX Ab Select LongshortPairCorr
  0.89FSMMX Fs Multi StrategyPairCorr
  0.96BTMPX Ishares Msci EafePairCorr
  0.96BTMKX Blackrock InternationalPairCorr
  0.96MDIIX Blackrock Intern IndexPairCorr
  0.69SPMPX Invesco Steelpath MlpPairCorr
  0.68MLPNX Oppenheimer Steelpath MlpPairCorr
  0.66MLPMX Oppenheimer Steelpath MlpPairCorr
  0.68SPMJX Invesco Steelpath MlpPairCorr
  0.98VFIAX Vanguard 500 IndexPairCorr
  0.96BSMIX Blackrock Smallmid CapPairCorr
  0.98NWJCX Nationwide Ziegler NysePairCorr
  0.97PTOAX Stocksplus Total ReturnPairCorr
  0.96RYFIX Financial ServicesPairCorr
  0.88RAAIX Altegrisaaca Opportunistic Steady GrowthPairCorr
  0.93IFRCX Voya Floating RatePairCorr
  0.71FREAX Nuveen Real EstatePairCorr
  0.9RSPYX Victory Rs Partners Potential GrowthPairCorr
  0.98JHBJX John Hancock FundsPairCorr

Moving against Gotham Mutual Fund

  0.67PWLMX Pimco Rae WorldwidePairCorr
  0.65PWLIX Pimco Rae WorldwidePairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Absolute 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 Gotham Absolute'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
GCHDX  0.53  0.18  0.04 (1.22) 0.27 
(0.64)
 1.16 
(0.90)
 3.74 
GDLFX  0.54  0.08  0.02  0.29  0.26 
(0.67)
 1.41 
(0.96)
 3.71 
GVALX  0.67  0.16  0.00 (0.96) 0.61 
(0.77)
 1.54 
(1.28)
 4.82 
GEFPX  0.65  0.22  0.08 (2.25) 0.54 
(0.74)
 1.50 
(1.34)
 5.22 
GENIX  0.64  0.27  0.15 (1.68) 0.37 
(0.76)
 2.05 
(1.28)
 5.08 
GINDX  0.65  0.24  0.11 (1.83) 0.48 
(0.77)
 1.64 
(1.25)
 5.46 
GNNDX  0.65  0.24  0.11 (1.87) 0.48 
(0.77)
 1.61 
(1.22)
 5.42 
GONIX  0.23  0.03 (0.29) 0.30  0.02 
(0.28)
 0.56 
(0.34)
 1.79 
GARIX  0.42  0.09  0.06  0.31  0.00 
(0.52)
 1.21 
(0.71)
 3.07 
GSPFX  0.64  0.22  0.08 (2.37) 0.59 
(0.74)
 1.83 
(1.15)
 5.23 

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