Lord Abbett Correlations

ELMFX Fund

USD 16.56 0.13 0.78%

The current 90-days correlation between Lord Abbett Trust and Fidelity Advisor Financial is 0.43 (i.e., Very weak 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

Very weak diversification

The correlation between Lord Abbett Trust and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Trust 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 Lord Abbett Trust. 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 census.

Moving together with Lord Mutual Fund

1.0	ELMCX	Lord Abbett Trust	Pair Corr
0.62	HYMOX	Lord Abbett High	Pair Corr
0.71	HYMQX	Lord Abbett Short	Pair Corr
0.62	HYMAX	Lord Abbett High	Pair Corr
0.61	HYMCX	Lord Abbett High	Pair Corr
0.62	HYMFX	Lord Abbett High	Pair Corr
0.62	HYMIX	Lord Abbett High	Pair Corr
1.0	EMILX	Lord Abbett Emerging	Pair Corr

Moving against Lord Mutual Fund

0.54	LFSFX	Lord Abbett Focused	Pair Corr
0.54	LFVAX	Lord Abbett Focused	Pair Corr
0.54	LFVCX	Lord Abbett Focused	Pair Corr
0.38	LGLCX	Lord Abbett Growth	Pair Corr
0.38	LGLAX	Lord Abbett Growth	Pair Corr
0.38	LGLFX	Lord Abbett Growth	Pair Corr
0.38	LGLIX	Lord Abbett Growth	Pair Corr
0.38	LGLOX	Lord Abbett Growth	Pair Corr
0.38	LGLSX	L Abbett Growth	Pair Corr
0.38	LGLQX	Lord Abbett Growth	Pair Corr
0.38	LGLRX	Lord Abbett Growth	Pair Corr
0.38	LGLUX	L Abbett Growth	Pair Corr
0.38	LGLVX	L Abbett Growth	Pair Corr
0.37	LGOQX	Lord Abbett Growth	Pair Corr
0.37	LGORX	Lord Abbett Growth	Pair Corr
0.37	LGOPX	Lord Abbett Growth	Pair Corr
0.36	LGOFX	Lord Abbett Growth	Pair Corr
0.36	LGOVX	Lord Abbett Growth	Pair Corr
0.36	LGOSX	Lord Abbett Growth	Pair Corr

Related Correlations Analysis

	FAFSX	FIDAX	MCBXX	PSSRX	GCFSX	VFAIX	PGFMX	BTO
FAFSX		0.93	0.0	0.97	0.42	0.91	0.68	0.93	FAFSX
FIDAX	0.93		0.0	0.98	0.25	0.71	0.55	0.8	FIDAX
MCBXX	0.0	0.0		0.0	0.0	0.0	0.0	0.0	MCBXX
PSSRX	0.97	0.98	0.0		0.34	0.82	0.63	0.87	PSSRX
GCFSX	0.42	0.25	0.0	0.34		0.67	0.9	0.29	GCFSX
VFAIX	0.91	0.71	0.0	0.82	0.67		0.83	0.87	VFAIX
PGFMX	0.68	0.55	0.0	0.63	0.9	0.83		0.55	PGFMX
BTO	0.93	0.8	0.0	0.87	0.29	0.87	0.55		BTO
	FAFSX	FIDAX	MCBXX	PSSRX	GCFSX	VFAIX	PGFMX	BTO

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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

PSSRX	+ 0.98	FIDAX
PSSRX	+ 0.97	FAFSX
FIDAX	+ 0.93	FAFSX
BTO	+ 0.93	FAFSX
VFAIX	+ 0.91	FAFSX
PGFMX	+ 0.9	GCFSX

High negative correlations

BTO	- 0.0	MCBXX
PGFMX	- 0.0	MCBXX
VFAIX	- 0.0	MCBXX
GCFSX	- 0.0	MCBXX
PSSRX	- 0.0	MCBXX
MCBXX	- 0.0	FIDAX

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
FAFSX	0.89	(0.04)	0.00	(0.11)	0.00	0.00	1.65	(2.71)	6.26
FIDAX	0.99	(0.11)	0.00	(0.18)	0.00	0.00	1.82	(3.26)	7.22
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PSSRX	0.97	(0.10)	0.00	(0.16)	0.00	0.00	1.69	(3.18)	6.03
GCFSX	0.75	0.10	0.10	0.06	1.04	(0.76)	1.80	(2.41)	4.68
VFAIX	0.83	0.04	0.00	(0.03)	0.00	0.00	1.46	(2.51)	6.10
PGFMX	0.39	0.01	0.00	(0.05)	0.00	0.00	0.85	(0.86)	2.21
BTO	1.05	(0.06)	0.00	(0.13)	0.00	0.00	2.30	(2.35)	6.87

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