Lord Abbett Correlations

CFBTX Fund

USD 8.42 0.01 0.12%

The current 90-days correlation between Lord Abbett Climate and Arrow Managed Futures is 0.04 (i.e., Significant diversification). The correlation of Lord Abbett 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.

Lord Abbett Correlation With Market

Good diversification

The correlation between Lord Abbett Climate and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Climate 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 Lord Abbett Climate. 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 estimate.

Moving together with Lord Mutual Fund

0.63	HYMOX	Lord Abbett High	Pair Corr
0.68	HYMQX	Lord Abbett Short	Pair Corr
0.63	HYMAX	Lord Abbett High	Pair Corr
0.63	HYMCX	Lord Abbett High	Pair Corr
0.63	HYMFX	Lord Abbett High	Pair Corr
0.63	HYMIX	Lord Abbett High	Pair Corr

Related Correlations Analysis

	MFTFX	TIILX	NWXNX	ANBIX	AMFAX	LIFAX	CSQIX
MFTFX		-0.31	-0.16	-0.27	0.48	-0.16	-0.29	MFTFX
TIILX	-0.31		0.91	0.98	0.29	0.79	0.66	TIILX
NWXNX	-0.16	0.91		0.92	0.37	0.84	0.71	NWXNX
ANBIX	-0.27	0.98	0.92		0.34	0.81	0.67	ANBIX
AMFAX	0.48	0.29	0.37	0.34		0.5	0.35	AMFAX
LIFAX	-0.16	0.79	0.84	0.81	0.5		0.69	LIFAX
CSQIX	-0.29	0.66	0.71	0.67	0.35	0.69		CSQIX
	MFTFX	TIILX	NWXNX	ANBIX	AMFAX	LIFAX	CSQIX

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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

ANBIX	+ 0.98	TIILX
ANBIX	+ 0.92	NWXNX
NWXNX	+ 0.91	TIILX
LIFAX	+ 0.84	NWXNX
LIFAX	+ 0.81	ANBIX
LIFAX	+ 0.79	TIILX

High negative correlations

TIILX	- 0.31	MFTFX
CSQIX	- 0.29	MFTFX
ANBIX	- 0.27	MFTFX
LIFAX	- 0.16	MFTFX
NWXNX	- 0.16	MFTFX

Risk-Adjusted Indicators

There is a big difference between Lord Mutual Fund performing well and Lord Abbett 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 Lord Abbett'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
MFTFX	0.97	(0.01)	(0.01)	(0.03)	1.46	(0.85)	1.68	(2.06)	5.15
TIILX	0.15	(0.05)	0.00	(1.80)	0.00	0.00	0.28	(0.47)	0.94
NWXNX	0.21	(0.07)	0.00	(1.69)	0.00	0.00	0.33	(0.66)	1.35
ANBIX	0.15	(0.05)	0.00	(1.74)	0.00	0.00	0.29	(0.39)	0.78
AMFAX	0.46	(0.05)	0.00	(0.55)	0.00	0.00	0.82	(1.03)	2.55
LIFAX	0.11	(0.03)	0.00	(1.52)	0.00	0.00	0.26	(0.26)	0.69
CSQIX	0.44	(0.16)	0.00	0.54	0.00	0.00	0.55	(0.37)	13.40

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