Lord Abbett Correlations

LGRFX Fund

10.24 0.05 0.49%

The current 90-days correlation between Lord Abbett Investment and Lord Abbett Trust is -0.13 (i.e., Good diversification). The correlation of Lord Abbett 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.

Lord Abbett Correlation With Market

Good diversification

The correlation between Lord Abbett Investment and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Investment 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 Lord Abbett Investment. 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 census.

Moving together with Lord Mutual Fund

0.84	PTSPX	Pimco Short Term	Pair Corr
0.81	PTSHX	Short Term Fund	Pair Corr
0.83	PSFAX	Short Term Fund	Pair Corr
0.83	PTSRX	Short Term Fund	Pair Corr
0.78	PSDNX	Putnam Ultra Short	Pair Corr
0.76	LUSNX	Lord Abbett Ultra	Pair Corr
0.71	VUBFX	Vanguard Ultra-short-term	Pair Corr
0.77	PSDRX	Putnam Short Duration	Pair Corr
0.77	PSDYX	Putnam Short Duration	Pair Corr
0.77	CISGX	Touchstone Sands Capital	Pair Corr
0.79	USTCX	Science Technology	Pair Corr
0.78	VMCPX	Vanguard Mid Cap	Pair Corr
0.77	EMXCX	Ashmore Emerging Markets	Pair Corr
0.85	CAT	Caterpillar	Pair Corr
0.73	BA	Boeing Aggressive Push	Pair Corr
0.78	IBM	International Business	Pair Corr
0.81	AA	Alcoa Corp	Pair Corr
0.78	DD	Dupont De Nemours	Pair Corr
0.75	JPM	JPMorgan Chase	Pair Corr
0.7	MSFT	Microsoft Sell-off Trend	Pair Corr
0.78	BAC	Bank of America Aggressive Push	Pair Corr
0.83	DIS	Walt Disney	Pair Corr
0.76	GE	GE Aerospace	Pair Corr
0.86	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.64	TRV	The Travelers Companies	Pair Corr

Related Correlations Analysis

	ELMFX	ELMCX	LFSFX	GLABX	LOMGX	LOLDX	LFRRX	LFROX	LFVAX
ELMFX		1.0	0.83	0.0	0.97	0.81	0.94	0.93	0.83	ELMFX
ELMCX	1.0		0.83	0.0	0.97	0.81	0.94	0.93	0.83	ELMCX
LFSFX	0.83	0.83		0.0	0.82	0.71	0.88	0.87	1.0	LFSFX
GLABX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	GLABX
LOMGX	0.97	0.97	0.82	0.0		0.81	0.95	0.95	0.82	LOMGX
LOLDX	0.81	0.81	0.71	0.0	0.81		0.86	0.87	0.71	LOLDX
LFRRX	0.94	0.94	0.88	0.0	0.95	0.86		1.0	0.88	LFRRX
LFROX	0.93	0.93	0.87	0.0	0.95	0.87	1.0		0.87	LFROX
LFVAX	0.83	0.83	1.0	0.0	0.82	0.71	0.88	0.87		LFVAX
	ELMFX	ELMCX	LFSFX	GLABX	LOMGX	LOLDX	LFRRX	LFROX	LFVAX

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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

ELMCX	+ 1.0	ELMFX
LFVAX	+ 1.0	LFSFX
LFROX	+ 1.0	LFRRX
LOMGX	+ 0.97	ELMFX
LOMGX	+ 0.97	ELMCX
LFRRX	+ 0.95	LOMGX

High negative correlations

LFVAX	- 0.0	GLABX
LFROX	- 0.0	GLABX
LFRRX	- 0.0	GLABX
LOLDX	- 0.0	GLABX
LOMGX	- 0.0	GLABX
GLABX	- 0.0	LFSFX

Risk-Adjusted Indicators

There is a big difference between Lord Mutual Fund performing well and Lord Abbett 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 Lord Abbett'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
ELMFX	0.81	0.11	0.05	0.27	1.07	(0.89)	2.26	(1.70)	6.56
ELMCX	0.81	0.10	0.05	0.27	1.10	(0.89)	2.29	(1.65)	6.42
LFSFX	1.36	0.07	(0.02)	(0.61)	2.26	(1.35)	2.61	(3.03)	13.91
GLABX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
LOMGX	1.54	0.31	0.07	(3.01)	2.27	(1.60)	3.25	(3.62)	15.97
LOLDX	0.12	0.01	(0.26)	(4.43)	0.00	(0.32)	0.26	(0.26)	1.04
LFRRX	0.16	0.01	(0.21)	0.51	0.15	(0.25)	0.50	(0.50)	1.26
LFROX	0.15	0.02	(0.20)	0.53	0.12	(0.25)	0.51	(0.62)	1.26
LFVAX	1.36	0.07	(0.02)	(0.61)	2.25	(1.35)	2.58	(2.98)	13.88

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