The Arbitrage Correlations

AEDNX Fund

USD 12.18 0.01 0.08%

The current 90-days correlation between Arbitrage Event and Aqr Small Cap is 0.52 (i.e., Very weak diversification). The correlation of The Arbitrage 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.

The Arbitrage Correlation With Market

Very weak diversification

The correlation between The Arbitrage Event Driven and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Event Driven 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 Event Driven. 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 The Mutual Fund

0.99	ARBFX	The Arbitrage	Pair Corr
0.99	ARBCX	The Arbitrage	Pair Corr
0.99	ARGAX	Arbitrage Fund	Pair Corr
0.92	AGCAX	Arbitrage Credit	Pair Corr
0.88	BCLPX	Blckrk Lc Cr	Pair Corr
0.91	BALPX	Blckrk Lc Cr	Pair Corr
0.91	BILPX	Blkrk Lc Cr	Pair Corr
0.93	MERIX	Merger Fund	Pair Corr
0.92	MERFX	Merger Fund	Pair Corr
0.92	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.92	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.92	VARCX	First Trust Merger	Pair Corr
0.99	ARBNX	The Arbitrage	Pair Corr
0.9	PFN	Pimco Income Strategy	Pair Corr
0.62	NXJ	Nuveen New Jersey	Pair Corr
0.79	XPPRX	Voya Prime Rate	Pair Corr
0.91	PCF	Putnam High Income	Pair Corr
0.67	VICSX	Vanguard Intermediate-ter	Pair Corr
0.84	DBIWX	Dws Global Macro	Pair Corr
0.87	EBSIX	Campbell Systematic Macro	Pair Corr
0.83	ABNOX	Ab Bond Inflation	Pair Corr
0.8	BISMX	Brandes International	Pair Corr
0.89	ARBOX	Absolute Convertible	Pair Corr
0.89	HTD	John Hancock Tax	Pair Corr
0.88	UTF	Cohen And Steers	Pair Corr
0.85	GIOIX	Guggenheim Macro Opp	Pair Corr
0.85	SGDLX	Sprott Gold Equity	Pair Corr
0.89	DLDFX	Destinations Low Duration	Pair Corr
0.7	PGLSX	Global Multi Strategy	Pair Corr
0.72	HWACX	Hotchkis Wiley Value	Pair Corr
0.67	HRBDX	Harbor Bond Fund	Pair Corr

Related Correlations Analysis

	QSERX	TISVX	PSBMX	CIPNX	MSSGX	HSCVX	ESCIX
QSERX		-0.4	0.88	0.94	0.85	0.89	0.47	QSERX
TISVX	-0.4		-0.49	-0.37	-0.49	-0.44	0.2	TISVX
PSBMX	0.88	-0.49		0.89	0.94	0.98	0.56	PSBMX
CIPNX	0.94	-0.37	0.89		0.84	0.9	0.48	CIPNX
MSSGX	0.85	-0.49	0.94	0.84		0.91	0.64	MSSGX
HSCVX	0.89	-0.44	0.98	0.9	0.91		0.53	HSCVX
ESCIX	0.47	0.2	0.56	0.48	0.64	0.53		ESCIX
	QSERX	TISVX	PSBMX	CIPNX	MSSGX	HSCVX	ESCIX

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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

HSCVX	+ 0.98	PSBMX
CIPNX	+ 0.94	QSERX
MSSGX	+ 0.94	PSBMX
HSCVX	+ 0.91	MSSGX
HSCVX	+ 0.9	CIPNX
HSCVX	+ 0.89	QSERX

High negative correlations

MSSGX	- 0.49	TISVX
PSBMX	- 0.49	TISVX
HSCVX	- 0.44	TISVX
TISVX	- 0.4	QSERX
CIPNX	- 0.37	TISVX

Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Arbitrage 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 The Arbitrage'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
QSERX	1.15	(0.23)	0.00	(0.21)	0.00	0.00	1.83	(2.52)	12.07
TISVX	0.80	0.12	0.10	0.12	1.23	(0.78)	1.99	(1.65)	9.81
PSBMX	1.01	(0.14)	0.00	(0.21)	0.00	0.00	1.64	(2.32)	5.36
CIPNX	1.00	(0.21)	0.00	(0.30)	0.00	0.00	1.38	(2.00)	11.53
MSSGX	1.79	(0.09)	0.00	(0.14)	0.00	0.00	3.70	(3.91)	10.50
HSCVX	0.79	(0.09)	0.00	(0.18)	0.00	0.00	1.42	(1.78)	3.38
ESCIX	0.75	0.00	0.00	(0.07)	0.00	0.00	1.87	(2.03)	4.56

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