Absolute Convertible Correlations

Mutual Funds . USA . 
Fund . Absolute Convertible Arbitrage
ARBOX Fund  USD 11.41  0.01  0.09%   
The current 90-days correlation between Absolute Convertible and Absolute Convertible Arbitrage is 0.68 (i.e., Poor diversification). The correlation of Absolute Convertible 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.

Absolute Convertible Correlation With Market

Weak diversification

The correlation between Absolute Convertible Arbitrage and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage 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 Absolute Convertible Arbitrage. 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 persons.

Moving together with Absolute Mutual Fund

  1.0ARBIX Absolute ConvertiblePairCorr
  0.86CVSCX Calamos Market NeutralPairCorr
  0.89CVSIX Calamos Market NeutralPairCorr
  0.9CVSOX Calamos Market NeutralPairCorr
  0.9CMNIX Calamos Market NeutralPairCorr
  0.97ADAIX Aqr Diversified ArbitragePairCorr
  0.97ADANX Aqr Diversified ArbitragePairCorr
  0.97QDARX Aqr Diversified ArbitragePairCorr
  0.98FSAWX Fidelity Sai ConvertiblePairCorr
  0.86NHS Neuberger Berman HighPairCorr
  0.97ABNOX Ab Bond InflationPairCorr
  0.91UTF Cohen And SteersPairCorr
  0.91GIOIX Guggenheim Macro OppPairCorr
  0.9VICSX Vanguard Intermediate-terPairCorr
  0.85DBIWX Dws Global MacroPairCorr
  0.87USGDX Morgan Stanley GovernmentPairCorr
  0.85DLDFX Destinations Low DurationPairCorr
  0.9HRBDX Harbor Bond FundPairCorr
  0.81EBSIX Campbell Systematic MacroPairCorr
  0.98BISMX Brandes InternationalPairCorr
  0.93SGDLX Sprott Gold EquityPairCorr
  0.91HTD John Hancock TaxPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Absolute Mutual Fund performing well and Absolute Convertible 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 Absolute Convertible'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
ARBOX  0.05  0.02  0.00  1.04  0.00 
 0.00 
 0.09 
 0.00 
 0.27 
ARBIX  0.05  0.03  0.00  1.18  0.00 
 0.00 
 0.09 
 0.00 
 0.27 
CAPOX  0.26 (0.01) 0.06  0.12  0.28 
(0.34)
 0.57 
(0.48)
 1.61 
CCLFX  0.05  0.03  0.00  3.35  0.00 
 0.00 
 0.09 
 0.00 
 0.19 
VWINX  0.27  0.04  0.19  0.12  0.20 
(0.31)
 0.64 
(0.44)
 1.73 
MSILX  0.79  0.12  0.12  0.15  0.98 
(0.82)
 2.00 
(1.48)
 6.43 
EDF  0.84  0.20  0.19  0.68  0.81 
(0.99)
 1.98 
(1.74)
 5.27 
PIGIX  0.27  0.02  0.13 (0.22) 0.24 
(0.32)
 0.67 
(0.46)
 1.60 
BFMSX  0.08  0.01  0.31 (0.60) 0.00 
(0.16)
 0.22 
(0.11)
 0.67 
BISTX  0.24  0.03  0.17  0.45  0.17 
(0.29)
 0.61 
(0.37)
 1.49 

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