Ab Sustainable Correlations

SUTAX Fund

USD 4.17 0.02 0.48%

The current 90-days correlation between Ab Sustainable Thematic and Fulcrum Diversified Absolute is 0.18 (i.e., Average diversification). The correlation of Ab Sustainable 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.

Ab Sustainable Correlation With Market

Weak diversification

The correlation between Ab Sustainable Thematic and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Ab Sustainable Thematic and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Ab Sustainable Thematic. 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 nation.

Moving together with SUTAX Mutual Fund

1.0	SUTCX	Ab Sustainable Thematic	Pair Corr
0.97	SUTZX	Ab Sustainable Thematic	Pair Corr
0.8	CICGX	Ab Centrated Interna	Pair Corr
0.79	CIGYX	Ab Centrated Interna	Pair Corr

Moving against SUTAX Mutual Fund

0.56	STEYX	International Strategic	Pair Corr
0.56	STEZX	International Strategic	Pair Corr
0.56	STESX	International Strategic	Pair Corr
0.53	AMTAX	Ab All Market	Pair Corr
0.52	SCRSX	Small Cap Core	Pair Corr
0.52	SCRYX	Small Cap Core	Pair Corr
0.52	SCRZX	Small Cap Core	Pair Corr
0.51	AMTZX	Ab All Market	Pair Corr
0.5	AMTYX	Ab All Market	Pair Corr
0.5	AMTOX	Ab All Market	Pair Corr
0.49	APGZX	Ab Large Cap	Pair Corr
0.49	APGYX	Ab Large Cap	Pair Corr
0.49	APGAX	Ab Large Cap	Pair Corr
0.48	APGCX	Ab Large Cap	Pair Corr
0.41	SCYVX	Ab Small Cap	Pair Corr
0.4	SCCVX	Ab Small Cap	Pair Corr
0.37	SCAVX	Ab Small Cap	Pair Corr
0.36	GCECX	Ab Global E	Pair Corr
0.34	GCEAX	Ab Global E	Pair Corr
0.34	GCEYX	Ab Global E	Pair Corr
0.59	ASILX	Ab Select Longshort	Pair Corr
0.58	ASCLX	Ab Select Longshort	Pair Corr
0.57	ASLAX	Ab Select Longshort	Pair Corr
0.57	ASYLX	Ab Select Longshort	Pair Corr
0.55	IRCSX	International Small Cap	Pair Corr
0.55	IRCZX	International Small Cap	Pair Corr
0.55	IRCYX	International Small Cap	Pair Corr
0.51	ABCSX	Ab Discovery Value	Pair Corr
0.47	CHCIX	Ab Discovery Growth	Pair Corr
0.47	ABIYX	Ab International Value	Pair Corr
0.46	CHCLX	Ab Discovery Growth	Pair Corr

Related Correlations Analysis

	FARIX	JPDVX	WDIAX	DIFIX	TFCAX	CDEYX	QDARX	EKBCX
FARIX		0.82	0.9	0.81	0.77	0.89	0.7	0.9	FARIX
JPDVX	0.82		0.82	0.69	0.63	0.74	0.6	0.96	JPDVX
WDIAX	0.9	0.82		0.86	0.81	0.89	0.71	0.86	WDIAX
DIFIX	0.81	0.69	0.86		0.77	0.95	0.67	0.77	DIFIX
TFCAX	0.77	0.63	0.81	0.77		0.84	0.81	0.73	TFCAX
CDEYX	0.89	0.74	0.89	0.95	0.84		0.75	0.85	CDEYX
QDARX	0.7	0.6	0.71	0.67	0.81	0.75		0.72	QDARX
EKBCX	0.9	0.96	0.86	0.77	0.73	0.85	0.72		EKBCX
	FARIX	JPDVX	WDIAX	DIFIX	TFCAX	CDEYX	QDARX	EKBCX

Risk-Adjusted Indicators

There is a big difference between SUTAX Mutual Fund performing well and Ab Sustainable 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 Ab Sustainable'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
FARIX	0.50	0.08	0.05	0.29	0.38	(0.61)	1.07	(0.95)	3.57
JPDVX	0.58	0.17	0.19	0.41	0.00	(0.70)	0.81	(0.82)	13.93
WDIAX	0.55	0.06	(0.03)	0.67	0.51	(0.65)	1.15	(1.01)	3.12
DIFIX	0.20	(0.01)	(0.27)	0.05	0.18	(0.23)	0.40	(0.32)	0.96
TFCAX	0.01	0.00	0.00	0.44	0.00	0.00	0.00	0.00	0.20
CDEYX	0.58	0.03	0.02	0.12	0.64	(0.65)	1.11	(0.97)	2.65
QDARX	0.06	0.01	(0.65)	0.51	0.00	(0.11)	0.16	(0.08)	0.39
EKBCX	0.99	0.20	0.15	0.29	0.95	(1.15)	1.77	(1.98)	10.52

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