North Square Correlations

Mutual Funds . USA . 
Fund . North Square Mckee
NMKBX Fund  USD 8.79  0.02  0.23%   
The current 90-days correlation between North Square Mckee and North Square Investments is 0.32 (i.e., Weak diversification). The correlation of North Square 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.

North Square Correlation With Market

Modest diversification

The correlation between North Square Mckee and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding North Square Mckee 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 North Square Mckee. 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 bureau of labor statistics.

Moving together with North Mutual Fund

  0.89ADVNX Advisory ResearchPairCorr
  0.62ADVGX Advisory Research AllPairCorr
  0.9ADVAX Api Efficient FrontierPairCorr
  0.62PORYX Oak Ridge MultiPairCorr
  1.0NMKYX North Square MckeePairCorr
  0.72ORDNX Oak Ridge DividendPairCorr
  0.61ORIYX Oak Ridge SmallPairCorr
  0.61ORIGX Oak Ridge SmallPairCorr
  0.62ORILX Oak Ridge MultiPairCorr
  0.87VBTLX Vanguard Total BondPairCorr
  0.99VBMFX Vanguard Total BondPairCorr
  0.99VBTIX Vanguard Total BondPairCorr
  0.99VTBSX Vanguard Total BondPairCorr
  0.99VTBIX Vanguard Total BondPairCorr
  0.99VTBNX Vanguard Total BondPairCorr
  0.98FBOFX American FundsPairCorr
  0.98FFBOX American FundsPairCorr
  0.99BFAFX Bond FundPairCorr
  0.98ABNDX Bond FundPairCorr
  0.61VSTSX Vanguard Total StockPairCorr
  0.61VSMPX Vanguard Total StockPairCorr
  0.61VITSX Vanguard Total StockPairCorr
  0.62VFFSX Vanguard 500 IndexPairCorr
  0.62VFIAX Vanguard 500 IndexPairCorr
  0.61VTISX Vanguard Total InterPairCorr
  0.61VTSNX Vanguard Total InterPairCorr
  0.61VTPSX Vanguard Total InterPairCorr
  0.62VINIX Vanguard InstitutionalPairCorr
  0.61VTSAX Vanguard Total StockPairCorr
  0.64BWLIX American Beacon BridgewayPairCorr
  0.62RBRCX Rbc Small CapPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between North Mutual Fund performing well and North Square 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 North Square'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
NSIVX  0.51  0.06 (0.02) 0.29  0.45 
(0.59)
 1.07 
(0.93)
 3.38 
ADVNX  0.22  0.03 (0.34)(0.20) 0.24 
(0.25)
 0.42 
(0.62)
 1.36 
ADVGX  1.01  0.15  0.14  0.26  0.85 
(1.16)
 2.45 
(2.28)
 6.09 
ADVAX  0.22  0.02 (0.33)(0.19) 0.24 
(0.26)
 0.42 
(0.62)
 1.46 
PORYX  0.47  0.07  0.02  0.23  0.39 
(0.55)
 1.35 
(0.89)
 3.31 
NKMCX  0.90  0.17  0.16  0.30  0.72 
(1.08)
 2.59 
(1.73)
 5.43 
NMKYX  0.24  0.00 (0.34) 0.18  0.24 
(0.28)
 0.47 
(0.46)
 1.27 
NMKBX  0.24  0.00 (0.36) 0.14  0.23 
(0.28)
 0.46 
(0.45)
 1.27 
ORDNX  0.08  0.05 (0.91) 1.71  0.00 
(0.12)
 0.24 
(0.09)
 0.53 
ORIYX  0.87  0.10  0.09  0.22  0.82 
(1.04)
 2.17 
(1.84)
 5.96 

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