Driehaus Event Correlations

DEVDX Fund

USD 12.18 0.05 0.41%

The current 90-days correlation between Driehaus Event Driven and Riverpark Strategic Income is 0.22 (i.e., Modest diversification). The correlation of Driehaus Event 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.

Driehaus Event Correlation With Market

Very weak diversification

The correlation between Driehaus Event Driven and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus Event Driven and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Driehaus 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 unemployment.

Moving together with Driehaus Mutual Fund

0.73	DMAGX	Driehaus Multi Asset	Pair Corr
0.97	DMCRX	Driehaus Micro Cap	Pair Corr
0.93	DNSMX	Driehaus Small Cap	Pair Corr
0.69	DRESX	Driehaus Emerging Markets	Pair Corr
0.92	DSMDX	Driehaus Smallmid Cap	Pair Corr
0.94	DVSMX	Driehaus Small Cap	Pair Corr

Moving against Driehaus Mutual Fund

0.91	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.91	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.9	VARCX	First Trust Merger	Pair Corr
0.72	ARBCX	The Arbitrage	Pair Corr
0.61	MERIX	Merger Fund	Pair Corr
0.59	MERFX	Merger Fund	Pair Corr
0.57	BILPX	Blkrk Lc Cr	Pair Corr
0.56	BALPX	Blckrk Lc Cr	Pair Corr
0.55	DRIOX	Driehaus International	Pair Corr
0.51	BCLPX	Blckrk Lc Cr	Pair Corr
0.83	GSRUX	Goldman Sachs Inflation	Pair Corr
0.82	MWTTX	Metropolitan West Total	Pair Corr
0.81	IIXAX	Catalyst Insider Income	Pair Corr
0.75	ARBNX	The Arbitrage	Pair Corr
0.66	BNUEX	Ubs International	Pair Corr
0.65	FCEEX	Franklin Fund Allocator	Pair Corr
0.6	MHIIX	Mfs High Income	Pair Corr
0.57	RWDYX	Redwood Managed Vola	Pair Corr
0.56	RWDIX	Redwood Managed Vola	Pair Corr
0.55	PYGFX	Payden Global Fixed	Pair Corr
0.51	PCMFX	California Municipal	Pair Corr
0.37	LSHUX	Horizon Spin Off	Pair Corr
0.37	LSHAX	Horizon Spin Off	Pair Corr
0.36	LSHEX	Kinetics Spin Off	Pair Corr
0.33	LSHCX	Horizon Spin Off	Pair Corr
0.89	FTIAX	Federated Short Term	Pair Corr
0.88	HOSGX	Short Term Government	Pair Corr

Related Correlations Analysis

	RSIVX	RSIIX	WAFMX	TFOAX	WIIOX
RSIVX		1.0	0.46	-0.07	0.23	RSIVX
RSIIX	1.0		0.45	-0.07	0.23	RSIIX
WAFMX	0.46	0.45		0.73	0.88	WAFMX
TFOAX	-0.07	-0.07	0.73		0.69	TFOAX
WIIOX	0.23	0.23	0.88	0.69		WIIOX
	RSIVX	RSIIX	WAFMX	TFOAX	WIIOX

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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

RSIIX	+ 1.0	RSIVX
WIIOX	+ 0.88	WAFMX
TFOAX	+ 0.73	WAFMX
WIIOX	+ 0.69	TFOAX
WAFMX	+ 0.46	RSIVX
WAFMX	+ 0.45	RSIIX

High negative correlations

TFOAX	- 0.07	RSIIX
TFOAX	- 0.07	RSIVX

Risk-Adjusted Indicators

There is a big difference between Driehaus Mutual Fund performing well and Driehaus Event 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 Driehaus Event'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
RSIVX	0.06	0.02	0.44	0.51	0.00	(0.12)	0.12	(0.11)	0.34
RSIIX	0.07	0.02	0.39	0.82	0.00	(0.13)	0.12	(0.12)	0.46
WAFMX	0.71	0.03	0.04	0.01	0.98	(0.78)	1.16	(1.97)	4.57
TFOAX	0.75	(0.03)	0.00	(0.07)	0.00	0.00	1.33	(1.63)	4.34
WIIOX	0.73	0.01	0.00	(0.03)	0.00	0.00	1.69	(1.62)	4.66

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