Floating Rate Correlations

LARCX Fund

USD 8.08 0.01 0.12%

The current 90-days correlation between Floating Rate and Aqr Managed Futures is 0.17 (i.e., Average diversification). The correlation of Floating Rate 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.

Floating Rate Correlation With Market

Modest diversification

The correlation between Floating Rate Fund and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Floating Rate Fund. 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 persons.

Moving together with Floating Mutual Fund

1.0	LFRAX	Floating Rate	Pair Corr
1.0	LFRFX	Floating Rate	Pair Corr
1.0	LFRIX	Floating Rate	Pair Corr
1.0	LFRRX	Lord Abbett Inv	Pair Corr
0.99	LFROX	Lord Abbett Floating	Pair Corr
0.69	HYMOX	Lord Abbett High	Pair Corr
0.91	HYMQX	Lord Abbett Short	Pair Corr
0.65	HYMAX	Lord Abbett High	Pair Corr
0.61	HYMCX	Lord Abbett High	Pair Corr
0.69	HYMFX	Lord Abbett High	Pair Corr
0.69	HYMIX	Lord Abbett High	Pair Corr

Moving against Floating Mutual Fund

0.61	LGOFX	Lord Abbett Growth	Pair Corr
0.61	LGOQX	Lord Abbett Growth	Pair Corr
0.61	LGORX	Lord Abbett Growth	Pair Corr
0.61	LGOPX	Lord Abbett Growth	Pair Corr
0.61	LGOVX	Lord Abbett Growth	Pair Corr
0.61	LGOSX	Lord Abbett Growth	Pair Corr

Related Correlations Analysis

	QMHIX	IBRIX	ABYIX	ANBIX	QCILIX	IBRSX	TILUX	LFTAX
QMHIX		-0.28	0.34	-0.46	-0.16	-0.31	-0.1	0.54	QMHIX
IBRIX	-0.28		0.37	0.77	0.85	0.98	0.95	0.1	IBRIX
ABYIX	0.34	0.37		0.31	0.5	0.39	0.48	0.81	ABYIX
ANBIX	-0.46	0.77	0.31		0.8	0.77	0.71	0.09	ANBIX
QCILIX	-0.16	0.85	0.5	0.8		0.81	0.84	0.42	QCILIX
IBRSX	-0.31	0.98	0.39	0.77	0.81		0.95	0.09	IBRSX
TILUX	-0.1	0.95	0.48	0.71	0.84	0.95		0.21	TILUX
LFTAX	0.54	0.1	0.81	0.09	0.42	0.09	0.21		LFTAX
	QMHIX	IBRIX	ABYIX	ANBIX	QCILIX	IBRSX	TILUX	LFTAX

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

IBRSX	+ 0.98	IBRIX
TILUX	+ 0.95	IBRIX
TILUX	+ 0.95	IBRSX
QCILIX	+ 0.85	IBRIX
TILUX	+ 0.84	QCILIX
LFTAX	+ 0.81	ABYIX

High negative correlations

ANBIX	- 0.46	QMHIX
IBRSX	- 0.31	QMHIX
IBRIX	- 0.28	QMHIX
QCILIX	- 0.16	QMHIX
TILUX	- 0.1	QMHIX

Risk-Adjusted Indicators

There is a big difference between Floating Mutual Fund performing well and Floating Rate 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 Floating Rate'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
QMHIX	0.65	0.04	0.01	0.15	0.94	(0.64)	1.26	(1.42)	4.57
IBRIX	0.15	(0.01)	0.00	(3.34)	0.00	0.00	0.32	(0.32)	0.85
ABYIX	0.39	0.03	(0.01)	0.13	0.40	(0.45)	0.92	(0.64)	2.56
ANBIX	0.07	(0.01)	0.00	(0.52)	0.00	0.00	0.10	(0.10)	0.48
QCILIX	0.10	(0.01)	(0.48)	(0.67)	0.12	(0.10)	0.19	(0.15)	0.62
IBRSX	0.15	(0.02)	0.00	(2.20)	0.00	0.00	0.33	(0.32)	0.97
TILUX	0.15	(0.01)	0.00	(0.33)	0.00	0.00	0.36	(0.24)	0.83
LFTAX	0.35	0.04	0.00	0.22	0.38	(0.39)	0.76	(0.66)	2.76

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