Multi-manager High Correlations

NMHYX Fund

USD 8.38 0.03 0.36%

The current 90-days correlation between Multi Manager High and Locorr Market Trend is 0.59 (i.e., Very weak diversification). The correlation of Multi-manager High 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.

Multi-manager High Correlation With Market

Very weak diversification

The correlation between Multi Manager High Yield and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield 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 Multi Manager High Yield. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Multi-manager Mutual Fund

0.67	BHYCX	Blackrock Hi Yld	Pair Corr
0.65	FAHHX	American Funds American	Pair Corr
0.65	FTAHX	American Funds American	Pair Corr
0.65	AHTFX	American High Income	Pair Corr
0.76	AHTCX	American High Income	Pair Corr

Moving against Multi-manager Mutual Fund

0.59	UIPIX	Ultrashort Mid Cap	Pair Corr
0.47	USPIX	Profunds Ultrashort Downward Rally	Pair Corr
0.43	USPSX	Profunds Ultrashort Downward Rally	Pair Corr
0.36	MRK	Merck Company Aggressive Push	Pair Corr

Related Correlations Analysis

	LOTAX	URNQX	AUERX	FHTFX	XMHFX	CPUCX	REMVX
LOTAX		0.89	0.75	0.86	0.85	0.78	0.89	LOTAX
URNQX	0.89		0.62	0.79	0.75	0.67	0.91	URNQX
AUERX	0.75	0.62		0.68	0.62	0.45	0.7	AUERX
FHTFX	0.86	0.79	0.68		0.94	0.79	0.91	FHTFX
XMHFX	0.85	0.75	0.62	0.94		0.89	0.8	XMHFX
CPUCX	0.78	0.67	0.45	0.79	0.89		0.63	CPUCX
REMVX	0.89	0.91	0.7	0.91	0.8	0.63		REMVX
	LOTAX	URNQX	AUERX	FHTFX	XMHFX	CPUCX	REMVX

Risk-Adjusted Indicators

There is a big difference between Multi-manager Mutual Fund performing well and Multi-manager High 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 Multi-manager High'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
LOTAX	0.58	0.07	0.08	0.12	0.66	(0.66)	1.25	(1.01)	3.73
URNQX	0.80	0.06	0.05	0.08	1.17	(0.77)	1.82	(2.05)	4.69
AUERX	0.80	0.08	0.07	0.10	0.96	(0.88)	1.72	(1.72)	4.33
FHTFX	0.13	0.07	0.25	(11.34)	0.00	(0.24)	0.39	(0.13)	1.16
XMHFX	0.15	0.03	0.04	1.47	0.00	(0.22)	0.29	(0.15)	1.45
CPUCX	0.19	0.02	(0.02)	0.82	0.10	(0.24)	0.32	(0.32)	0.97
REMVX	0.65	0.13	0.13	0.22	0.73	(0.73)	1.38	(0.83)	4.64

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