The Arbitrage Correlations

AGCAX Fund

USD 9.83 0.01 0.10%

The current 90-days correlation between Arbitrage Credit and Tax Free Conservative Income is 0.59 (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

Modest diversification

The correlation between The Arbitrage Credit and DJI is 0.23 (i.e., Modest 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 nation.

Moving together with The Mutual Fund

0.91	ARBNX	The Arbitrage	Pair Corr
0.92	ARBFX	The Arbitrage	Pair Corr
0.9	ARBCX	The Arbitrage	Pair Corr
1.0	ARCFX	Arbitrage Credit	Pair Corr
0.91	ARGAX	Arbitrage Fund	Pair Corr
0.99	ACFIX	Arbitrage Credit	Pair Corr
0.92	AEDNX	Arbitrage Event	Pair Corr
0.91	AEDFX	Arbitrage Event	Pair Corr
0.91	AGEAX	Arbitrage Event	Pair Corr
0.91	BSIKX	Blackrock Strategic	Pair Corr
0.9	BSICX	Blackrock Strategic Opps	Pair Corr
0.9	BASIX	Blackrock Strategic Opps	Pair Corr
0.91	BSIIX	Blackrock Strategic	Pair Corr
0.96	JSORX	Jpmorgan Strategic Income	Pair Corr
0.96	JSOZX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOCX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOSX	Jpmorgan Strategic Income	Pair Corr
0.95	JSOAX	Jpmorgan Strategic Income	Pair Corr
0.91	PMZCX	Pimco Mortgage Oppor	Pair Corr
0.96	PDI	Pimco Dynamic Income	Pair Corr
0.96	FTCAX	Templeton Strained Bond	Pair Corr
0.87	DFISX	International Small Pany	Pair Corr
0.85	VFIJX	Vanguard Gnma	Pair Corr
0.68	BTEIX	Brown Advisory Tax	Pair Corr
0.79	DGQUX	Americafirst Defensive	Pair Corr
0.97	EKIZX	Wells Fargo Adjustable	Pair Corr
0.9	RBOHX	Intermediate Bond	Pair Corr
0.91	TIEUX	International Equity	Pair Corr
0.86	VZICX	Vanguard International	Pair Corr
0.66	BBNTX	Sterling Capital North	Pair Corr
0.82	TGROX	Tiaa Cref Green	Pair Corr

Moving against The Mutual Fund

0.85	TCTGX	Transamerica Cleartrack	Pair Corr
0.85	TCTJX	Transamerica Cleartrack	Pair Corr
0.84	TDKTX	Cleartrack 2015 Class	Pair Corr
0.84	TCSUX	Cleartrack 2020 Class	Pair Corr

Related Correlations Analysis

	TFCAX	PGBAX	MNDWX	FHCOX	HIIDX	ACBPX	EIIMX	FZABX
TFCAX		0.86	0.74	0.99	0.81	0.88	0.84	0.82	TFCAX
PGBAX	0.86		0.91	0.85	0.92	0.96	0.94	0.9	PGBAX
MNDWX	0.74	0.91		0.71	0.78	0.87	0.82	0.76	MNDWX
FHCOX	0.99	0.85	0.71		0.81	0.87	0.85	0.82	FHCOX
HIIDX	0.81	0.92	0.78	0.81		0.88	0.94	0.97	HIIDX
ACBPX	0.88	0.96	0.87	0.87	0.88		0.96	0.82	ACBPX
EIIMX	0.84	0.94	0.82	0.85	0.94	0.96		0.88	EIIMX
FZABX	0.82	0.9	0.76	0.82	0.97	0.82	0.88		FZABX
	TFCAX	PGBAX	MNDWX	FHCOX	HIIDX	ACBPX	EIIMX	FZABX

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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
TFCAX	0.02	0.00	0.00	(0.28)	0.00	0.00	0.10	0.00	0.40
PGBAX	0.14	0.01	0.40	0.13	0.07	(0.18)	0.34	(0.25)	0.85
MNDWX	0.12	(0.01)	0.18	(0.32)	0.19	(0.18)	0.20	(0.38)	0.96
FHCOX	0.05	0.01	0.00	0.92	0.00	0.00	0.10	(0.10)	0.51
HIIDX	0.63	0.08	0.12	0.08	0.82	(0.65)	1.27	(0.97)	5.23
ACBPX	0.24	0.02	0.27	0.34	0.20	(0.30)	0.56	(0.44)	1.23
EIIMX	0.31	0.03	0.23	0.38	0.28	(0.39)	0.63	(0.62)	1.91
FZABX	0.74	0.11	0.12	0.10	1.01	(0.73)	1.45	(1.37)	6.16

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