The Arbitrage Correlations
| ARBCX Fund | USD 12.08 0.01 0.08% |
The current 90-days correlation between The Arbitrage and Us Government Securities is 0.19 (i.e., Average 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 Fund and DJI is 0.41 (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 Fund and DJI in the same portfolio, assuming nothing else is changed.
The |
Moving together with The Mutual Fund
| 1.0 | ARBFX | The Arbitrage | PairCorr |
| 1.0 | ARGAX | Arbitrage Fund | PairCorr |
| 0.9 | AGCAX | Arbitrage Credit | PairCorr |
| 0.9 | BCLPX | Blckrk Lc Cr | PairCorr |
| 0.92 | BALPX | Blckrk Lc Cr | PairCorr |
| 0.93 | BILPX | Blkrk Lc Cr | PairCorr |
| 0.65 | MERIX | Merger Fund | PairCorr |
| 0.96 | MERFX | Merger Fund | PairCorr |
| 0.68 | ARBNX | The Arbitrage | PairCorr |
| 0.9 | PFN | Pimco Income Strategy | PairCorr |
| 0.63 | NXJ | Nuveen New Jersey | PairCorr |
| 0.91 | PCF | Putnam High Income | PairCorr |
| 0.87 | DBIWX | Dws Global Macro | PairCorr |
| 0.67 | EBSIX | Campbell Systematic Macro | PairCorr |
| 0.84 | ABNOX | Ab Bond Inflation | PairCorr |
| 0.89 | ARBOX | Absolute Convertible | PairCorr |
| 0.9 | HTD | John Hancock Tax | PairCorr |
| 0.88 | UTF | Cohen And Steers | PairCorr |
| 0.62 | GIOIX | Guggenheim Macro Opp | PairCorr |
| 0.88 | SGDLX | Sprott Gold Equity | PairCorr |
| 0.86 | DLDFX | Destinations Low Duration | PairCorr |
| 0.75 | HWACX | Hotchkis Wiley Value | PairCorr |
Related Correlations Analysis
| 1.0 | 1.0 | 0.96 | 0.92 | 0.91 | 0.99 | RGVBX | ||
| 1.0 | 1.0 | 0.97 | 0.93 | 0.92 | 0.99 | USGFX | ||
| 1.0 | 1.0 | 0.96 | 0.93 | 0.91 | 0.99 | RGVCX | ||
| 0.96 | 0.97 | 0.96 | 0.99 | 0.98 | 0.94 | TWAVX | ||
| 0.92 | 0.93 | 0.93 | 0.99 | 0.99 | 0.9 | FCSCX | ||
| 0.91 | 0.92 | 0.91 | 0.98 | 0.99 | 0.89 | SSAGX | ||
| 0.99 | 0.99 | 0.99 | 0.94 | 0.9 | 0.89 | BIGLX | ||
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RGVBX | 0.24 | 0.03 | 0.29 | 0.91 | 0.20 | 0.52 | 1.39 | |||
| USGFX | 0.25 | 0.03 | 0.30 | 0.95 | 0.20 | 0.51 | 1.55 | |||
| RGVCX | 0.24 | 0.03 | 0.29 | 0.88 | 0.20 | 0.51 | 1.38 | |||
| TWAVX | 0.07 | 0.01 | 0.53 | 0.61 | 0.00 | 0.22 | 0.55 | |||
| FCSCX | 0.06 | 0.01 | 0.55 | 0.69 | 0.00 | 0.13 | 0.66 | |||
| SSAGX | 0.06 | 0.01 | 0.72 | 2.76 | 0.00 | 0.10 | 0.51 | |||
| BIGLX | 0.25 | 0.03 | 0.24 | 0.46 | 0.24 | 0.56 | 1.58 |