Gotham Enhanced Correlations

Mutual Funds . USA . 
Fund . Gotham Enhanced Return
GENIX Fund  USD 13.59  0.02  0.15%   
The current 90-days correlation between Gotham Enhanced Return and Gotham Hedged E is 0.89 (i.e., Very poor diversification). The correlation of Gotham Enhanced 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 Enhanced Correlation With Market

Almost no diversification

The correlation between Gotham Enhanced Return and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gotham Enhanced 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 Enhanced 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

  0.99GCHDX Gotham Hedged EPairCorr
  0.98GDLFX Gotham Defensive LongPairCorr
  0.98GVALX Gotham Large ValuePairCorr
  0.99GEFPX Gotham Enhanced 500PairCorr
  0.99GINDX Gotham Index PlusPairCorr
  0.99GNNDX Gotham Index PlusPairCorr
  0.94GONIX Gotham NeutralPairCorr
  1.0GARIX Gotham Absolute ReturnPairCorr
  0.99GSPFX Gotham Enhanced SpPairCorr
  0.99GTRFX Gotham Total ReturnPairCorr
  0.98VIMAX Vanguard Mid CapPairCorr
  0.98VIMSX Vanguard Mid CapPairCorr
  0.98VMCPX Vanguard Mid CapPairCorr
  0.98VMCIX Vanguard Mid CapPairCorr
  0.98VEXAX Vanguard Extended MarketPairCorr
  0.98VEMPX Vanguard Extended MarketPairCorr
  0.98VIEIX Vanguard Extended MarketPairCorr
  0.97VSEMX Vanguard Extended MarketPairCorr
  0.98VEXMX Vanguard Extended MarketPairCorr
  0.98FSMAX Fidelity Extended MarketPairCorr
  0.67RYMEX Commodities StrategyPairCorr
  0.66RYMJX Commodities StrategyPairCorr
  0.85BRUFX Bruce Fund BrucePairCorr
  0.99SPGSX State Street PremierPairCorr
  0.69KF Korea ClosedPairCorr
  0.72UPDDX Upright Growth IncomePairCorr
  0.98JLAIX Retirement Living ThroughPairCorr
  0.98WQAIX Westwood Quality AllcapPairCorr
  0.99CGNGX American Funds GrowthPairCorr
  0.61PMBIX Total ReturnPairCorr
  0.96FRPDX Fidelity Sai AlternativePairCorr
  0.76FFC Flaherty CrumrinePairCorr
  0.94PSLAX Putnam Small CapPairCorr
  0.99DIEFX Destinations InternationalPairCorr
  0.95CSHIX Credit Suisse FloatingPairCorr
  0.99GEMMX Gmo Emerging MarketsPairCorr
  0.99RWIAX Capital World GrowthPairCorr
  0.98ETIDX Eventide Global DividendPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Gotham Mutual Fund performing well and Gotham Enhanced 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 Enhanced'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  0.08  0.04  0.26  0.27 
(0.64)
 1.16 
(0.90)
 3.74 
GDLFX  0.55  0.07  0.01  0.28  0.32 
(0.67)
 1.41 
(0.96)
 3.71 
GVALX  0.67  0.03  0.01  0.16  0.61 
(0.77)
 1.54 
(1.28)
 4.82 
GEFPX  0.65  0.08  0.08  0.22  0.54 
(0.74)
 1.50 
(1.34)
 5.22 
GENIX  0.64  0.14  0.15  0.28  0.37 
(0.76)
 2.05 
(1.28)
 5.08 
GINDX  0.65  0.10  0.11  0.24  0.48 
(0.77)
 1.64 
(1.25)
 5.46 
GNNDX  0.65  0.10  0.11  0.24  0.48 
(0.77)
 1.61 
(1.22)
 5.42 
GONIX  0.23  0.03 (0.26) 0.32  0.00 
(0.28)
 0.56 
(0.34)
 1.79 
GARIX  0.42  0.10  0.08  0.32  0.00 
(0.51)
 1.21 
(0.71)
 3.07 
GSPFX  0.64  0.08  0.08  0.22  0.59 
(0.74)
 1.83 
(1.15)
 5.23 

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