Arbitrage Credit Correlations

ACFIX Fund

USD 9.77 0.01 0.10%

The current 90-days correlation between Arbitrage Credit and T Rowe Price is 0.18 (i.e., Average diversification). The correlation of Arbitrage Credit 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.

Arbitrage Credit Correlation With Market

Good diversification

The correlation between The Arbitrage Credit and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Credit and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in The Arbitrage Credit. 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 gross domestic product.

Moving together with Arbitrage Mutual Fund

0.95	ARCFX	Arbitrage Credit	Pair Corr
0.97	AGCAX	Arbitrage Credit	Pair Corr
0.77	JSORX	Jpmorgan Strategic Income	Pair Corr
0.77	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.74	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.73	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.75	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.82	SPGSX	State Street Premier	Pair Corr
0.84	JEPIX	Jpmorgan Equity Premium	Pair Corr
0.81	DOXGX	Dodge Cox Stock	Pair Corr
0.84	PLFIX	Largecap Sp 500	Pair Corr
0.78	ANCFX	American Funds Funda	Pair Corr
0.69	FLTTX	Wisdomtree Floating Rate	Pair Corr
0.78	DMO	Western Asset Mortgage	Pair Corr
0.63	CAGIX	Calvert Aggressive	Pair Corr
0.67	TFBRX	American Beacon Twen	Pair Corr
0.84	USPRX	Sp 500 Index	Pair Corr
0.73	JILGX	Multimanager Lifestyle	Pair Corr

Moving against Arbitrage Mutual Fund

0.59	PMZCX	Pimco Mortgage Oppor	Pair Corr
0.37	BSICX	Blackrock Strategic Opps	Pair Corr
0.87	KF	Korea Closed	Pair Corr
0.52	BRUFX	Bruce Fund Bruce	Pair Corr

Related Correlations Analysis

	PRFHX	PATFX	AGRXX	ANAGX	FHYIX	XDLYX	MSTBX
PRFHX		1.0	0.0	0.72	0.96	0.67	0.66	PRFHX
PATFX	1.0		0.0	0.76	0.94	0.72	0.7	PATFX
AGRXX	0.0	0.0		0.0	0.0	0.0	0.0	AGRXX
ANAGX	0.72	0.76	0.0		0.57	0.89	0.95	ANAGX
FHYIX	0.96	0.94	0.0	0.57		0.51	0.49	FHYIX
XDLYX	0.67	0.72	0.0	0.89	0.51		0.85	XDLYX
MSTBX	0.66	0.7	0.0	0.95	0.49	0.85		MSTBX
	PRFHX	PATFX	AGRXX	ANAGX	FHYIX	XDLYX	MSTBX

Click cells to compare fundamentals

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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

PATFX	+ 1.0	PRFHX
FHYIX	+ 0.96	PRFHX
MSTBX	+ 0.95	ANAGX
FHYIX	+ 0.94	PATFX
XDLYX	+ 0.89	ANAGX
MSTBX	+ 0.85	XDLYX

High negative correlations

MSTBX	- 0.0	AGRXX
XDLYX	- 0.0	AGRXX
FHYIX	- 0.0	AGRXX
ANAGX	- 0.0	AGRXX
AGRXX	- 0.0	PATFX
AGRXX	- 0.0	PRFHX

Risk-Adjusted Indicators

There is a big difference between Arbitrage Mutual Fund performing well and Arbitrage Credit 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 Arbitrage Credit'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
PRFHX	0.15	0.01	(0.28)	0.04	0.24	(0.22)	0.44	(0.44)	1.61
PATFX	0.15	0.01	(0.28)	0.06	0.25	(0.23)	0.44	(0.35)	1.69
AGRXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ANAGX	0.16	(0.02)	0.00	20.72	0.00	0.00	0.29	(0.29)	1.01
FHYIX	0.17	0.01	(0.27)	(0.02)	0.25	(0.23)	0.43	(0.32)	1.85
XDLYX	0.13	(0.01)	0.00	(2.25)	0.00	0.00	0.24	(0.31)	1.11
MSTBX	0.09	(0.02)	0.00	(0.74)	0.00	0.00	0.20	(0.21)	0.72

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