Frost Kempner Correlations

FAKDX Fund

USD 12.58 0.01 0.08%

The current 90-days correlation between Frost Kempner Multi and Frost Growth Equity is 0.22 (i.e., Modest diversification). The correlation of Frost Kempner 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.

Frost Kempner Correlation With Market

Very poor diversification

The correlation between Frost Kempner Multi Cap and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap 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 Frost Kempner Multi Cap. 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 Frost Mutual Fund

1.0	FIKDX	Frost Kempner Multi	Pair Corr
0.94	VVIAX	Vanguard Value Index	Pair Corr
0.95	DOXGX	Dodge Cox Stock	Pair Corr
0.89	AFMFX	American Mutual	Pair Corr
0.88	FFMMX	American Funds American	Pair Corr
0.89	FFFMX	American Funds American	Pair Corr
0.88	AMRMX	American Mutual	Pair Corr
0.88	AMFFX	American Mutual	Pair Corr
0.86	AMFCX	American Mutual	Pair Corr
0.95	DODGX	Dodge Stock Fund	Pair Corr
0.94	VIVAX	Vanguard Value Index	Pair Corr
0.85	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.86	RYVLX	Nasdaq 100 2x	Pair Corr
0.86	RYVYX	Nasdaq 100 2x	Pair Corr
0.84	UOPIX	Ultra Nasdaq 100	Pair Corr
0.86	RYCCX	Nasdaq 100 2x	Pair Corr
0.84	UOPSX	Ultranasdaq 100 Profund	Pair Corr
0.84	INPIX	Internet Ultrasector	Pair Corr
0.84	INPSX	Internet Ultrasector	Pair Corr
0.86	CLM	Cornerstone Strategic	Pair Corr
0.87	AMECX	Income Fund	Pair Corr
0.93	VFINX	Vanguard 500 Index	Pair Corr
0.87	VAADX	Virtus Convertible	Pair Corr
0.93	FZROX	Fidelity Zero Total	Pair Corr
0.93	GVCAX	Gabelli Value	Pair Corr
0.8	RGGEX	American Funds Global	Pair Corr
0.73	FGB	First Trust Specialty	Pair Corr
0.73	FSUTX	Utilities Portfolio	Pair Corr
0.96	FIVUX	First Investors Oppo	Pair Corr
0.94	FGRIX	Fidelity Growth Income	Pair Corr
0.84	WCPSX	Mobile Telecommunicatio	Pair Corr

Related Correlations Analysis

	FACEX	FADLX	FATRX	FIKDX	FIKTX
FACEX		0.1	0.12	-0.45	-0.29	FACEX
FADLX	0.1		0.97	-0.63	0.68	FADLX
FATRX	0.12	0.97		-0.63	0.67	FATRX
FIKDX	-0.45	-0.63	-0.63		-0.18	FIKDX
FIKTX	-0.29	0.68	0.67	-0.18		FIKTX
	FACEX	FADLX	FATRX	FIKDX	FIKTX

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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

FATRX	+ 0.97	FADLX
FIKTX	+ 0.68	FADLX
FIKTX	+ 0.67	FATRX
FATRX	+ 0.12	FACEX
FADLX	+ 0.1	FACEX

High negative correlations

FIKDX	- 0.63	FATRX
FIKDX	- 0.63	FADLX
FIKDX	- 0.45	FACEX
FIKTX	- 0.29	FACEX
FIKTX	- 0.18	FIKDX

Risk-Adjusted Indicators

There is a big difference between Frost Mutual Fund performing well and Frost Kempner 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 Frost Kempner'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
FACEX	0.94	(0.23)	0.00	(0.16)	0.00	0.00	1.69	(1.51)	20.43
FADLX	0.09	(0.02)	0.00	(3.90)	0.00	0.00	0.20	(0.20)	0.51
FATRX	0.18	(0.04)	0.00	3.77	0.00	0.00	0.40	(0.41)	1.02
FIKDX	0.48	0.01	(0.03)	0.11	0.31	(0.63)	1.05	(0.79)	3.38
FIKTX	0.07	(0.01)	(0.67)	0.57	0.08	(0.15)	0.12	(0.12)	0.59

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