Floating Rate Correlations

LRRKX Fund

USD 8.06 0.01 0.12%

The current 90-days correlation between Floating Rate and Arrow Managed Futures is 0.1 (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

Good diversification

The correlation between Floating Rate Fund and DJI is -0.08 (i.e., Good 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 board of governors.

Moving together with Floating Mutual Fund

0.95	LFRFX	Floating Rate	Pair Corr
0.94	LFRIX	Floating Rate	Pair Corr
0.98	LFRRX	Lord Abbett Inv	Pair Corr
0.99	LFROX	Lord Abbett Floating	Pair Corr
0.78	LHCCX	Lord Abbett Health	Pair Corr
0.95	LRRRX	Floating Rate	Pair Corr
0.94	LRRVX	Floating Rate	Pair Corr
0.94	LRRTX	Floating Rate	Pair Corr
0.84	LALDX	Lord Abbett Short	Pair Corr
0.98	LARCX	Floating Rate	Pair Corr
0.68	LAVVX	L Abbett Fundamental	Pair Corr
0.67	LSYIX	Lord Abbett Short	Pair Corr
0.65	LSYFX	Lord Abbett Short	Pair Corr
0.69	LDLAX	Lord Abbett Short	Pair Corr
0.7	LDLRX	Lord Abbett Short	Pair Corr
0.76	OOSYX	Oppenheimer Senior	Pair Corr
0.96	OOSIX	Oppenheimer Senior	Pair Corr
0.74	GAAKX	Gmo Alternative Allo	Pair Corr
0.73	GAAGX	Gmo Alternative Allo	Pair Corr
0.71	PQTAX	Pimco Trends Managed	Pair Corr
0.71	PQTNX	Pimco Trends Managed	Pair Corr

Moving against Floating Mutual Fund

0.69	LRSCX	Small Cap Value	Pair Corr
0.68	LINSX	L Abbett International	Pair Corr
0.65	LAIEX	Lord Abbett International	Pair Corr

Related Correlations Analysis

	MFTFX	RYIFX	AUNOX	FODUX	LFTAX	HIPFX
MFTFX		0.94	0.78	0.54	0.9	0.73	MFTFX
RYIFX	0.94		0.85	0.62	0.91	0.79	RYIFX
AUNOX	0.78	0.85		0.62	0.9	0.82	AUNOX
FODUX	0.54	0.62	0.62		0.54	0.92	FODUX
LFTAX	0.9	0.91	0.9	0.54		0.77	LFTAX
HIPFX	0.73	0.79	0.82	0.92	0.77		HIPFX
	MFTFX	RYIFX	AUNOX	FODUX	LFTAX	HIPFX

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
MFTFX	1.07	0.13	0.06	0.69	1.18	(1.25)	2.80	(1.78)	6.84
RYIFX	0.55	0.06	0.00	1.22	0.68	(0.58)	1.23	(1.21)	4.42
AUNOX	0.09	0.02	(0.38)	3.69	0.00	(0.15)	0.28	(0.09)	0.56
FODUX	0.17	0.00	(0.19)	0.00	0.12	(0.20)	0.37	(0.28)	0.93
LFTAX	0.34	0.08	0.04	1.11	0.34	(0.40)	0.76	(0.66)	2.76
HIPFX	0.11	0.01	(0.33)	0.23	0.00	(0.14)	0.19	(0.19)	0.66

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