Ultimus Managers Correlations

Mutual Funds . USA . 
Fund . Ultimus Managers Trust
INVTX Fund  USD 22.76  0.10  0.44%   
The current 90-days correlation between Ultimus Managers Trust and Evolutionary Tree Innovators is 0.05 (i.e., Significant diversification). The correlation of Ultimus Managers 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.

Ultimus Managers Correlation With Market

Good diversification

The correlation between Ultimus Managers Trust and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ultimus Managers Trust 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 Ultimus Managers Trust. 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 estimate.

Moving together with Ultimus Mutual Fund

  0.98INVNX Evolutionary TreePairCorr
  0.97FAFGX American FundsPairCorr
  0.97FFAFX American FundsPairCorr
  0.97GFACX Growth FundPairCorr
  0.98GFAFX Growth FundPairCorr
  0.98AGTHX Growth FundPairCorr
  0.97CGFFX Growth FundPairCorr
  0.98CGFCX Growth FundPairCorr
  0.97CGFAX Growth FundPairCorr
  0.98CGFEX Growth FundPairCorr
  0.97RGAEX Growth FundPairCorr
  0.73NHS Neuberger Berman HighPairCorr
  0.97ECTGX Eaton Vance TaxPairCorr
  0.94LACCX Lord Abbett VertiblePairCorr
  0.96CDDYX Columbia Dividend IncomePairCorr
  0.94FSMVX Fidelity Mid CapPairCorr
  0.92FLMVX Jpmorgan Mid CapPairCorr
  0.95FCENX Franklin InternationalPairCorr
  0.94WEIAX Teton Vertible SecuritiesPairCorr
  0.95ICMBX Intrepid CapitalPairCorr
  0.63IGBZX Voya Global BondPairCorr
  0.98MDAAX Mainstay Moderate EtfPairCorr
  0.97WSHFX Washington MutualPairCorr
  0.97PTCMX Principal Lifetime 2030PairCorr
  0.94RMBMX Rmb Smid CapPairCorr
  0.97YOVIX Yorktown Small CapPairCorr
  0.63GCFUX Goldman Sachs EPairCorr
  0.92DSIBX Dreyfus Short IntermPairCorr
  0.97CDDRX Columbia Dividend IncomePairCorr
  0.94MSJIX Morgan Stanley GlobalPairCorr
  0.93FFFAX Fidelity Freedom IncomePairCorr
  0.9JSNIX Jhancock Short DurationPairCorr
  0.96TEFQX Firsthand TechnologyPairCorr
  0.97PLIBX Plumb BalancedPairCorr
  0.98MMIUX Massmutual SelectPairCorr
  0.86BBSCX Sterling Capital ShortPairCorr
  0.93RBCRX Rbc Bluebay AbsolutePairCorr

Moving against Ultimus Mutual Fund

  0.86GPSCX Victory Rs SmallPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Ultimus Mutual Fund performing well and Ultimus Managers 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 Ultimus Managers' 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
INVNX  0.94  0.13  0.13  0.30  0.65 
(1.14)
 2.45 
(1.50)
 5.43 
INVTX  0.94  0.31  0.11 (1.89) 0.73 
(1.10)
 2.47 
(1.63)
 5.42 
AIENX  0.25  0.02 (0.46) 1.46  0.21 
(0.29)
 0.47 
(0.46)
 1.29 
VFIAX  0.61  0.12  0.13  0.31  0.34 
(0.72)
 2.02 
(0.83)
 4.88 
BCIAX  0.11  0.01 (0.81)(0.27) 0.00 
(0.16)
 0.27 
(0.18)
 0.74 
SWHCX  0.51  0.08  0.06  0.28  0.32 
(0.57)
 1.66 
(0.88)
 3.95 
DLEUX  0.62  0.08 (0.09) 0.78  0.64 
(0.66)
 1.26 
(1.13)
 2.81 
RIDCX  0.31  0.07 (0.07) 0.35  0.00 
(0.36)
 0.88 
(0.56)
 2.21 
FDSCX  0.87  0.09  0.09  0.25  0.80 
(0.97)
 2.34 
(1.63)
 6.13 
JDFAX  0.26  0.02 (0.45) 1.26  0.22 
(0.30)
 0.55 
(0.43)
 1.21 

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